Concepedia

Predicting daily exchange rate with singular spectrum analysis

Hossein Hassani, Abdol S. Soofi, Anatoly Zhigljavsky

Nonlinear Analysis Real World Applications · 2009 · 87 citations · 22 references

DOI

Concepts

References

22

Investigating Causal Relations by Econometric Models and Cross-spectral Methods

Clive W. J. Granger · Econometrica · 1969 · 22.9K citations

, , +8

Empirical exchange rate models of the seventies

Richard Meese, Kenneth Rogoff · Journal of International Economics · 1983 · 4.2K citations

, , +12

Extracting qualitative dynamics from experimental data

D.S. Broomhead, Gregory P. King · Physica D Nonlinear Phenomena · 1986 · 2.3K citations

, , +12

Testing the equality of prediction mean squared errors

David I. Harvey, Stephen J. Leybourne, Paul Newbold · International Journal of Forecasting · 1997 · 2K citations

, , +7

On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials

Jeffrey A. Frankel · American Economic Review · 1979 · 961 citations

, , +14