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Testing nonlinear forecastability in time series: Theory and evidence from the EMS

  • Fernandez-Rodriguez, Fernando
  • Sosvilla-Rivero, Simon

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File URL: http://www.sciencedirect.com/science/article/B6V84-3T51RH8-47/2/9ff930347db41108d3bb6580820dc319
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 59 (1998)
Issue (Month): 1 (April)
Pages: 49-63

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Handle: RePEc:eee:ecolet:v:59:y:1998:i:1:p:49-63
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Diebold, Francis X. & Nason, James A., 1990. "Nonparametric exchange rate prediction?," Journal of International Economics, Elsevier, vol. 28(3-4), pages 315-332, May.
  2. Andrew W. Lo, 1989. "Long-term Memory in Stock Market Prices," NBER Working Papers 2984, National Bureau of Economic Research, Inc.
  3. Blake LeBaron, 1996. "Technical Trading Rule Profitability and Foreign Exchange Intervention," NBER Working Papers 5505, National Bureau of Economic Research, Inc.
  4. Härdle, W.K., 1992. "Applied Nonparametric Methods," Discussion Paper 1992-6, Tilburg University, Center for Economic Research.
  5. Oliver LINTON, . "Applied nonparametric methods," Statistic und Oekonometrie 9312, Humboldt Universitaet Berlin.
  6. Krugman, Paul R, 1991. "Target Zones and Exchange Rate Dynamics," The Quarterly Journal of Economics, MIT Press, vol. 106(3), pages 669-82, August.
  7. Bong-Chan, Kho, 1996. "Time-varying risk premia, volatility, and technical trading rule profits: Evidence from foreign currency futures markets," Journal of Financial Economics, Elsevier, vol. 41(2), pages 249-290, June.
  8. Brock, W. & Lakonishok, J. & Lebaron, B., 1991. "Simple Technical Trading Rules And The Stochastic Properties Of Stock Returns," Working papers 90-22, Wisconsin Madison - Social Systems.
  9. 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.
  10. 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.
  11. 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.
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