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
References: View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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:4:y:1997:i:7:p:441-444

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

DOI: 10.1080/135048597355221

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 ().