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

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

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

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Handle: RePEc:fda:fdaddt:9817

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  1. Wei, Shangjin, 1991. "Price volatility without news about fundamentals," Economics Letters, Elsevier, Elsevier, vol. 37(4), pages 453-458, December.
  2. Pesaran, M.H. & Timmermann, A., 1990. "A Simple, Non-Parametric Test Of Predictive Performance," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 9021, Faculty of Economics, University of Cambridge.
  3. 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, Elsevier, vol. 52(1-2), pages 5-59.
  4. Wolfgang Hardle & Oliver Linton, 1994. "Applied Nonparametric Methods," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1069, Cowles Foundation for Research in Economics, Yale University.
  5. Meese, Richard A & Rose, Andrew K, 1990. "Nonlinear, Nonparametric, Nonessential Exchange Rate Estimation," American Economic Review, American Economic Association, American Economic Association, vol. 80(2), pages 192-96, May.
  6. Krugman, Paul R, 1991. "Target Zones and Exchange Rate Dynamics," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 106(3), pages 669-82, August.
  7. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, Elsevier, vol. 14(1-2), pages 3-24, February.
  8. Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero & J. Martín-González., . "Credibility in the EMS: New evidence using nonlinear forecastability tests," Working Papers, FEDEA 97-14, FEDEA.
  9. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 20(1), pages 134-44, January.
  10. 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.
  11. Diebold, Francis X. & Nason, James A., 1990. "Nonparametric exchange rate prediction?," Journal of International Economics, Elsevier, Elsevier, vol. 28(3-4), pages 315-332, May.
  12. Fernando Fernandez-Rodriguez & Simon Sosvilla-Rivero Julian, 1997. "Combining information in exchange rate forecasting: evidence from the EMS," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 4(7), pages 441-444.
  13. De Grauwe, Paul, 1990. "Deterministic Chaos in the Foreign Exchange Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers 370, C.E.P.R. Discussion Papers.
  14. Hsieh, David A, 1989. "Testing for Nonlinear Dependence in Daily Foreign Exchange Rates," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 62(3), pages 339-68, July.
  15. 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, Elsevier, vol. 12(5), pages 451-474, October.
  16. Boothe, Paul & Glassman, Debra, 1987. "Comparing exchange rate forecasting models : Accuracy versus profitability," International Journal of Forecasting, Elsevier, Elsevier, vol. 3(1), pages 65-79.
  17. Fernandez-Rodriguez, Fernando & Sosvilla-Rivero, Simon, 1998. "Testing nonlinear forecastability in time series: Theory and evidence from the EMS," Economics Letters, Elsevier, Elsevier, vol. 59(1), pages 49-63, April.
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