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Title

Forecasting exchange rates using local regression

AuthorsÁlvarez-Díaz, Marcos; Álvarez-Díaz, Alberto
Issue Date2010
PublisherTaylor & Francis
CitationApplied Economics Letters 17(5):509-514 (2010)
AbstractIn this article we use a generalization of the standard nearest neighbours, called local regression (LR), to study the predictability of the yen/US$ and pound sterling/US$ exchange rates. We also compare our results with those previously obtained with global methods such as neural networks, genetic programming, data fusion and evolutionary neural networks. We want to verify if we can generalize to the exchange rate forecasting problem the belief that local methods beat global ones.
Publisher version (URL)http://dx.doi.org/10.1080/13504850801987217
URIhttp://hdl.handle.net/10261/54902
DOI10.1080/13504850801987217
ISSN1350-4851
E-ISSN1466-4291
Appears in Collections:(IMEDEA) Artículos
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