Fernández-Rodríguez, Fernando; Sosvilla-Rivero, Simón; … - Asociación Española de Economía y Finanzas … - 2000
In this paper we assess the economic significance of the nonlinear predictability of EMS exchange rates. To that end, and using daily data for nine EMS currencies covering the 1st January 1978- 31st December 1994 period, we consider nearest-neighbour nonlinear predictors, transforming their...