Combining information in exchange rate forecasting: Evidence from the EMS

被引：4

作者：

FernandezRodriguez, F

SosvillaRivero, S

AndradaFelix, J

机构：

[1] FEDEA,E-28001 MADRID,SPAIN

[2] UNIV COMPLUTENSE MADRID,FEDEA,E-28001 MADRID,SPAIN

来源：

APPLIED ECONOMICS LETTERS | 1997年 / 4卷 / 07期

关键词：

D O I：

10.1080/135048597355221

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：441 / 444

页数：4

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