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A comparison between neural networks and chaotic models for exchange rate prediction

  • Lisi, Francesco
  • Schiavo, Rosa A.

No abstract is available for this item.

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File URL: http://www.sciencedirect.com/science/article/B6V8V-3W78KC6-8/2/1f1cb29f0076c6d7146937cc48471b81
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Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 30 (1999)
Issue (Month): 1 (March)
Pages: 87-102

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Handle: RePEc:eee:csdana:v:30:y:1999:i:1:p:87-102
Contact details of provider: Web page: http://www.elsevier.com/locate/csda

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  1. De Grauwe, Paul, 1990. "Deterministic Chaos in the Foreign Exchange Markets," CEPR Discussion Papers 370, C.E.P.R. Discussion Papers.
  2. Francis X. Diebold & James M. Nason, 1989. "Nonparametric exchange rate prediction?," Finance and Economics Discussion Series 81, Board of Governors of the Federal Reserve System (U.S.).
  3. Lisi, Francesco & Medio, Alfredo, 1997. "Is a random walk the best exchange rate predictor?," International Journal of Forecasting, Elsevier, vol. 13(2), pages 255-267, June.
  4. 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.
  5. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
  6. F, Lisi, 1997. "One-Step Prediction of Chaotic Time Series by Multivariate Reconstruction," Working Papers 97-02, Centre de Recherche en Economie et Statistique.
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