Fernandez-Rodriguez, Fernando; Julian, Simon Sosvilla-Rivero - In: Applied Economics Letters 4 (1997) 7, pp. 441-444
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...