This paper studies drivers of daily dynamics of the nominal dinar-euro exchange rate from September 2006 to June 2010. Using a novel semiparametric approach we are able to incorporate the evidence of nonlinearities under very weak assumptions on the underlying data generating process. We...

N onlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models Edited by Greg N. Gregoriou Professor of Finance, State University of New York (Plattsburgh) Research Associate, EDHEC Business School, Nice, France and Razvan Pasealau Assistant Professor of Economics,...