Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies
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- David E. Allen & Michael McAleer & Shelton Peiris & Abhay K. Singh, 2016. "Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies," Risks, MDPI, vol. 4(1), pages 1-14, March.
- Allen, D.E. & McAleer, M.J. & Peiris, S. & Singh, A.K., 2015. "Nonlinear time series and neural-network models of exchange rates between the US dollar and major currencies," Econometric Institute Research Papers EI2015-33, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
References listed on IDEAS
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As found by EconAcademics.org, the blog aggregator for Economics research:- End-of-Year Reading
by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2015-12-23 01:57:00
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- Angelos Kanas & Angelos Kotios & Panagiotis D. Zervopoulos, 2019. "Semi-parametric real exchange rates dynamics," Review of Quantitative Finance and Accounting, Springer, vol. 52(2), pages 643-656, February.
- Marinakis, Yorgos D. & White, Reilly & Walsh, Steven T., 2020. "Lotka–Volterra signals in ASEAN currency exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
- Nicola Rubino, 2021. "In- and Out-of-Sample Performance of Nonlinear Models in International Price Differential Forecasting in a Commodity Country Framework," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 9(2), pages 107-127.
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More about this item
Keywords
Non linear models; time series; non-parametric; smooth-transition regression models; neural networks; GMDH shell;All these keywords.
JEL classification:
- C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- F3 - International Economics - - International Finance
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2015-11-15 (Computational Economics)
- NEP-ETS-2015-11-15 (Econometric Time Series)
- NEP-MON-2015-11-15 (Monetary Economics)
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