Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/125124
Authors: 
Allen, David E.
McAleer, Michael
Peiris, Shelton
Singh, Abhay K.
Year of Publication: 
2015
Series/Report no.: 
Tinbergen Institute Discussion Paper 15-125/III
Abstract: 
This paper features an analysis of major currency exchange rate movements in relation to the US dollar, as constituted in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models, including smooth transition regression models, logistic smooth transition regressions models, threshold autoregressive models, nonlinear autoregressive models, and additive nonlinear autoregressive models, plus Neural Network models.The results suggest that there is no dominating class of time series models, and the different currency pairs relationships with the US dollar are captured best by neural net regression models, over the ten year sample of daily exchange rate returns data, from August 2005 to August 2015.
Subjects: 
Non linear models
time series
non-parametric
smooth-transition regression models
neural networks
GMDH shell
JEL: 
C45
C53
F3
G15
Document Type: 
Working Paper

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