Combining information in exchange rate forecasting: evidence from the EMS

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.

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Year of publication:	1997
Authors:	Fernandez-Rodriguez, Fernando ; Julian, Simon Sosvilla-Rivero
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 4.1997, 7, p. 441-444
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005435151