Advanced Search
MyIDEAS: Login to save this paper or follow this series

Exchange-rate forecasts with simultaneous nearest-neighbour methods: Evidence from the EMS

Contents:

Author Info

  • Fernando Fernández-Rodríguez
  • Simón Sosvilla-Rivero
  • Julián Andrada

Abstract

No abstract is available for this item.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://documentos.fedea.net/pubs/dt/1998/dt-1998-17.pdf
Download Restriction: no

Bibliographic Info

Paper provided by FEDEA in its series Working Papers with number 98-17.

as in new window
Length:
Date of creation:
Date of revision:
Handle: RePEc:fda:fdaddt:9817

Contact details of provider:
Web page: http://www.fedea.net

Related research

Keywords:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Hsieh, David A, 1989. "Testing for Nonlinear Dependence in Daily Foreign Exchange Rates," The Journal of Business, University of Chicago Press, vol. 62(3), pages 339-68, July.
  2. Paul R. Krugman, 1988. "Target Zones and Exchange Rate Dynamics," NBER Working Papers 2481, National Bureau of Economic Research, Inc.
  3. Levich, Richard M. & Thomas, Lee III, 1993. "The significance of technical trading-rule profits in the foreign exchange market: a bootstrap approach," Journal of International Money and Finance, Elsevier, vol. 12(5), pages 451-474, October.
  4. Francis X. Diebold & James M. Nason, 1989. "Nonparametric exchange rate prediction?," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 81, Board of Governors of the Federal Reserve System (U.S.).
  5. Boothe, Paul & Glassman, Debra, 1987. "Comparing exchange rate forecasting models : Accuracy versus profitability," International Journal of Forecasting, Elsevier, vol. 3(1), pages 65-79.
  6. Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero & J. Martín-González., . "Credibility in the EMS: New evidence using nonlinear forecastability tests," Working Papers 97-14, FEDEA.
  7. Bajo-Rubio, Oscar & Fernandez-Rodriguez, Fernando & Sosvilla-Rivero, Simon, 1992. "Chaotic behaviour in exchange-rate series : First results for the Peseta--U.S. dollar case," Economics Letters, Elsevier, vol. 39(2), pages 207-211, June.
  8. Fernandez-Rodriguez, Fernando & Sosvilla-Rivero, Simon, 1998. "Testing nonlinear forecastability in time series: Theory and evidence from the EMS," Economics Letters, Elsevier, vol. 59(1), pages 49-63, April.
  9. Pesaran, M Hashem & Timmermann, Allan, 1992. "A Simple Nonparametric Test of Predictive Performance," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 10(4), pages 561-65, October.
  10. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
  11. De Grauwe, Paul, 1990. "Deterministic Chaos in the Foreign Exchange Markets," CEPR Discussion Papers 370, C.E.P.R. Discussion Papers.
  12. Mizrach, B, 1992. "Multivariate Nearest-Neighbor Forecasts of EMS Exchange Rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 7(S), pages S151-63, Suppl. De.
  13. Fernando Fernandez-Rodriguez & Simon Sosvilla-Rivero Julian, 1997. "Combining information in exchange rate forecasting: evidence from the EMS," Applied Economics Letters, Taylor & Francis Journals, vol. 4(7), pages 441-444.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Simón Sosvilla-Rivero & Julián Andrada-Félix & Fernando Fernández-Rodríguez, . "Further evidence on technical analysis and profitability of foreign exchange intervention," Working Papers 99-01, FEDEA.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:fda:fdaddt:9817. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Carmen Arias).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.