Univariate exchange rate forecasts : approximating nonlinearity of unknown form

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dc.contributor.authorGUARDA, Paolo
dc.date.accessioned2006-06-09T08:18:39Z
dc.date.available2006-06-09T08:18:39Z
dc.date.issued1998
dc.descriptionDefence date: 26 June 1998
dc.descriptionExamining board: Prof. Michael Artis, EUI ; Prof. Ronald McDonald, University of Strathclyde ; Prof. Andrew rose, University of California at Berkeley ; Prof. Mark Salmon, EUI and City University London, Supervisor ; Prof. Timo Teräsvirta, Stockholm School of Economics
dc.descriptionPDF of thesis uploaded from the Library digitised archive of EUI PhD theses completed between 2013 and 2017
dc.descriptionFirst made available in Open Access: 10 December 2024en
dc.description.abstractThis thesis aims to improve exchange rate forecasts by using nonlinear meth ods. Most studies of exchange rates are based on linear models or linear approximations to nonlinear theories. This is because standard practice as sumes that a linear functional form can provide a satisfactory approximation to the data generating process. However, there is no a priori reason to pre fer linear to nonlinear methods. The popularity of the linear approach is due in part to its simplicity. The basic linear stochastic model immediately evokes the idea of a stable equilibrium continually disturbed by exogenous shocks. In addition, the linear model has several advantages compared to the nonlinear alternative: it reduces the computational burden of estima tion, simplifies interpretation and builds on an established body of statistical results. However, despite these advantages, there are both empirical and theoretical reasons why the linearity assumption does not serve economists studying exchange rates as well as it has in other fields.en
dc.format.mimetypeapplication/pdf
dc.identifier.citationFlorence : European University Institute, 1998en
dc.identifier.doi10.2870/6658724en
dc.identifier.urihttps://hdl.handle.net/1814/4941
dc.language.isoenen
dc.publisherEuropean University Instituteen
dc.relation.ispartofseriesEUIen
dc.relation.ispartofseriesECOen
dc.relation.ispartofseriesPhD Thesisen
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subject.lcshForeign exchange rates -- Forecasting
dc.titleUnivariate exchange rate forecasts : approximating nonlinearity of unknown formen
dc.typeThesisen
dspace.entity.typePublication
eui.subscribe.skiptrue
person.identifier.other26267
relation.isAuthorOfPublication6c828d20-89a9-4680-855a-5e34a3f7c85c
relation.isAuthorOfPublication.latestForDiscovery6c828d20-89a9-4680-855a-5e34a3f7c85c
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