Nonlinear deterministic forecasting of daily Peseta-Dollar exchange rate

被引：14

作者：

Soofi, AS ^{[1
]}

Cao, LY

机构：

[1] Univ Wisconsin, Dept Econ, Platteville, WI 53818 USA

[2] Univ Western Australia, Dept Math, Nedlands, WA 6907, Australia

[3] Fisheries Western Australia, Western Australian Marine Res Labs, N Beach, WA, Australia

来源：

ECONOMICS LETTERS | 1999年 / 62卷 / 02期

关键词：

time series; embedding dimension; nonlinear prediction; exchange rate; random walk;

D O I：

10.1016/S0165-1765(98)00134-7

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We perform out-of-sample predictions on daily Peseta-Dollar spot exchange rates using a simple nonlinear deterministic technique of local linear predictor. We compared our predictions with those by two simple benchmark predictors: random walk model and mean-value predictor. The results on the differenced time series indicate that our predictions are better than those by the random walk model, and marginally better than the results from the mean-value predictor. (C) 1999 Elsevier Science S.A. All rights reserved.

引用

页码：175 / 180

页数：6

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