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Forecasting Exchange-Rates via Local Approximation Methods and Neural Networks

  • Andreou, Andreas S.
  • Zombanakis, George A.
  • Georgopoulos, E. F.
  • Likothanassis, S. D.

There has been an increased number of papers in the literature in recent years, applying several methods and techniques for exchange - rate prediction. This paper focuses on the Greek drachma using daily observations of the drachma rates against four major currencies, namely the U.S. Dollar (USD), the Deutsche Mark (DM), the French Franc (FF) and the British Pound (GBP) for a period of 11 years, aiming at forecasting their short-term course by applying local approximation methods based on both chaotic analysis and neural networks.

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File URL: http://mpra.ub.uni-muenchen.de/17764/1/MPRA_paper_17764.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 17764.

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Date of creation: Dec 1998
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Publication status: Published in European Research Studies 4.1(1998): pp. 5-33
Handle: RePEc:pra:mprapa:17764
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  1. Cheung, Yin-Wong, 1993. "Long Memory in Foreign-Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 93-101, January.
  2. West, K.D. & Cho, D., 1993. "The Predictive Ability of Several Models of Exchange Rate Volatility," Working papers 9317r, Wisconsin Madison - Social Systems.
  3. Kim, Benjamin J. C. & Mo, Soowon, 1995. "Cointegration and the long-run forecast of exchange rates," Economics Letters, Elsevier, vol. 48(3-4), pages 353-359, June.
  4. Pavlos Karadeloglou & Christos Papazoglou & George Zombanakis, 1998. "Is the Exchange Rate an Effective Anti-inflationary Policy Instrument?," Ekonomia, Cyprus Economic Society and University of Cyprus, vol. 2(1), pages 47-72, Summer.
  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. Baxter, Marianne, 1994. "Real exchange rates and real interest differentials: Have we missed the business-cycle relationship?," Journal of Monetary Economics, Elsevier, vol. 33(1), pages 5-37, February.
  7. repec:cup:cbooks:9780521484619 is not listed on IDEAS
  8. Pesaran, M Hashem & Potter, Simon M, 1992. "Nonlinear Dynamics and Econometrics: An Introduction," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S1-7, Suppl. De.
  9. Panayiotis Diamantis & George Kouretas, . "Exchange Rate Determination: Empirical For The Greek Drachma," Working Papers 9504, University of Crete, Department of Economics.
  10. Brissimis, Sophocles N. & Leventakis, John A., 1989. "The effectiveness of devaluation: A general equilibrium assessment with reference to Greece," Journal of Policy Modeling, Elsevier, vol. 11(2), pages 247-271.
  11. Booth, G. Geoffrey & Kaen, Fred R. & Koveos, Peter E., 1982. "R/S analysis of foreign exchange rates under two international monetary regimes," Journal of Monetary Economics, Elsevier, vol. 10(3), pages 407-415.
  12. Marsh, Ian W. & Power, David M., 1996. "A note on the performance of foreign exchange forecasters in a portfolio framework," Journal of Banking & Finance, Elsevier, vol. 20(3), pages 605-613, April.
  13. Jeffrey A. Frankel, 1993. "On Exchange Rates," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262061546, June.
  14. Mark P. Taylor, 1995. "The Economics of Exchange Rates," Journal of Economic Literature, American Economic Association, vol. 33(1), pages 13-47, March.
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