Forecasting exchange rates using local regression

Marcos Alvarez-Diaz and Alberto Alvarez

Applied Economics Letters, 2010, vol. 17, issue 5, 509-514

Abstract: In this article we use a generalization of the standard nearest neighbours, called local regression (LR), to study the predictability of the yen/US$ and pound sterling/US$ exchange rates. We also compare our results with those previously obtained with global methods such as neural networks, genetic programming, data fusion and evolutionary neural networks. We want to verify if we can generalize to the exchange rate forecasting problem the belief that local methods beat global ones.

Date: 2010
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:17:y:2010:i:5:p:509-514

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504850801987217

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().