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

被引：7

作者：

Fernandez-Rodriguez, F

Sosvilla-Rivero, S

机构：

[1] FEDEA, Madrid 28001, Spain

[2] Univ Complutense Madrid, Madrid 28001, Spain

[3] Univ de las Palmas de Gran Canaria, Las Palmas Gran Canaria, Spain

来源：

ECONOMICS LETTERS | 1998年 / 59卷 / 01期

关键词：

forecastability; exchange rates; European Monetary System;

D O I：

10.1016/S0165-1765(98)00019-6

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper proposes a procedure, based on nearest-neighbour predictors, for testing the existence of nonlinear forecastable dependencies in time series. An empirical application to EMS exchange rates illustrates the performance of the test. (C) 1998 Elsevier Science S.A.

引用

页码：49 / 63

页数：15

共 19 条

[1]

ALEXANDER SS, 1961, IMR-IND MANAG REV, V2, P7

[2]

[Anonymous], 1994, HDB ECONOMETRICS

[3] CHAOTIC BEHAVIOR IN EXCHANGE-RATE SERIES - 1ST RESULTS FOR THE PESETA-UNITED-STATES DOLLAR CASE [J].