Testing nonlinear forecastability in time series: Theory and evidence from the EMS

DOI10.1016/S0165-1765(98)00019-6zbMath0907.90070OpenAlexW2008791656MaRDI QIDQ1128791

Fernando Fernández-Rodríguez, Simón Sosvilla-Rivero

Publication date: 13 August 1998

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(98)00019-6

zbMATH Keywords

forecastabilityexchange rateseuropean monetary system

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (1)

Nonparametric, nonlinear, short-term forecasting: Theory and evidence for nonlinearities in the commodity markets

Cites Work

• Chaotic behaviour in exchange-rate series. First results for the Peseta- U.S. Dollar case
• Statistical methods in finance
• Long-Term Memory in Stock Market Prices
• NEAREST‐NEIGHBOUR METHODS FOR TIME SERIES ANALYSIS

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