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Forecasting Exchange-Rates via Local Approximation Methods and Neural Networks

Author

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

Abstract

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.

Suggested Citation

  • Andreou, Andreas S. & Zombanakis, George A. & Georgopoulos, E. F. & Likothanassis, S. D., 1998. "Forecasting Exchange-Rates via Local Approximation Methods and Neural Networks," MPRA Paper 17764, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:17764
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    References listed on IDEAS

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    7. Ramsey, James B & Sayers, Chera L & Rothman, Philip, 1990. "The Statistical Properties of Dimension Calculations Using Small Data Sets: Some Economic Applications," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 31(4), pages 991-1020, November.
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    Keywords

    Key Words: Exchange Rates; Forecasting; Neural Networks;

    JEL classification:

    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics

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