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- W2105969659 abstract "Abstract This paper employs a neural network (NN) to study the nonlinear predictability of exchange rates for four currencies at the 1-, 6- and 12-month forecast horizons. We find that our neural network model with market fundamentals cannot beat the random walk (RW) in out-of-sample forecast accuracy, although it occasionally shows a limited market-timing ability. The neural network model without monetary fundamentals forecasts somewhat better for the British pound and the Canadian dollar. The model also exhibits some market-timing ability for the Deutsche mark at the 6- and 12-month horizons, and for the Canadian dollar at the 1-month horizon. In general, the model performs more poorly when it becomes more complex or when the forecast horizon lengthens. Our overall results are more on the negative side and suggest that neither nonlinearity nor market fundamentals appear to be very important in improving exchange rate forecast for the chosen horizons." @default.
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- W2105969659 date "2003-12-01" @default.
- W2105969659 modified "2023-09-26" @default.
- W2105969659 title "Nonlinear prediction of exchange rates with monetary fundamentals" @default.
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- W2105969659 doi "https://doi.org/10.1016/s0927-5398(03)00008-2" @default.
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