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Combining information in exchange rate forecasting: evidence from the EMS

Fernando Fernandez-Rodriguez and Simon Sosvilla-Rivero
Authors registered in the RePEc Author Service: Julian Andrada-Felix ()

Applied Economics Letters, 1997, vol. 4, issue 7, 441-444

Abstract: In this paper we propose a multivariate local predictor, inspired in the literature on deterministic chaos, and apply it to nine EMS currencies, using daily data for the January 1973-December 1994 period. Our local predictors perform marginally better than a random walk in forecasting the nominal exchange rate, clearly outperforming the random walk directional forecast.

Date: 1997
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DOI: 10.1080/135048597355221

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