Distance-based nearest neighbour forecasting with application to exchange rate predictability

DOI10.1093/IMAMAN/DPZ016OpenAlexW3007124525WikidataQ126746880 ScholiaQ126746880MaRDI QIDQ5000465

Foteini Kyriazi, Dimitrios D. Thomakos

Publication date: 13 July 2021

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dpz016

zbMATH Keywords

distancesrandom walkforecastingunit rootsnon-stationary time seriesnearest neighboursnaíve forecast

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Nearest neighbor forecasting using sparse data representation

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