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Original Articles

Combining information in exchange rate forecasting: evidence from the EMS

Pages 441-444 | Published online: 05 Oct 2010

References

  • Bajo-Rubio , O. , Fernández-Rodríguez , F. and Sosvilla-Rivero , S. 1992a . Chaotic behaviour in exchange-rate series: first results for the peseta-US dollar case . Economics Letters , 39 : 207 – 211 .
  • Bajo-Rubio , O. , Fernández-Rodríguez , F. and Sosvilla-Rivero , S. 1992b . VAolatilidad y predecibilidad en las series del tipo de cambio peseta-dólar: Un enfoque basado en el caos determinista, Revista Española de Economía . Monográfico Mercados Financieros Españoles , : 91 – 109 .
  • Casdagli , M. 1991 . Nonlinear forecasting, chaos and statistics , Working Paper 91-05-022 Santa Fe Institute .
  • Farmer , D. and Sidorowich , J. 1987 . Predicting chaotic time series . Physical Review Letters , 59 : 845 – 848 .
  • Fernández-Rodríguez , F. 1992 . El problema de la predicción en series temporales: Aplicaciones del caos determinista , Universidad de Las Palmas de Gran Canaria . PhD thesis
  • Gershenfed , B. and Weigend , N. , eds. 1995 . Time series prediction. Forecasting the future and understanding the past , Reading, MA : Addison-Wesley .
  • Sosvilla Rivero , S. , Fernández Rodríguez , F. , Bajo Rubio , O. and Martín Gonzalez , J. 1994 . Exchange rate volatility in the EMS before and after the fall , Working Paper 94-16 FEDEA .
  • Takens , F. 1981 . “ Detecting strange attractors in turbulence ” . In Dynamical systems and turbulence , Edited by: Rand , D. and Young , L. 366 – 381 . Berlin : Springer-Verlag .

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