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Evaluating non-linear models on point and interval forecasts: an application with exchange rates
Boero, Gianna, (2005)
The performance of non-linear exchange rate models: a forecasting comparison
Boero, Gianna, (2002)
The Performance of SETAR models by Regime: A Conditional Evaluation of Interval and Density Forecasts
Marrocu, Emanuela, (2003)