Nonlinear time series and neural-network models of exchange rates between the US dollar and major currencies
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- David E. Allen & Michael McAleer & Shelton Peiris & Abhay K. Singh, 2016. "Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies," Risks, MDPI, Open Access Journal, vol. 4(1), pages 1-14, March.
- David E. Allen & Michael McAleer & Shelton Peiris & Abhay K. Singh, 2015. "Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies," Tinbergen Institute Discussion Papers 15-125/III, Tinbergen Institute.
References listed on IDEAS
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More about this item
Keywordsnon linear models; time series; non-parametric; smooth-transition regression models; neural networks; GMDH shell;
- C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- F3 - International Economics - - International Finance
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2015-12-20 (All new papers)
- NEP-CMP-2015-12-20 (Computational Economics)
- NEP-ETS-2015-12-20 (Econometric Time Series)
- NEP-MON-2015-12-20 (Monetary Economics)
- NEP-OPM-2015-12-20 (Open Economy Macroeconomics)
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