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15-125/III - Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies

  • Authors
    David E. Allen, The University of Sydney, The University of South Australia, Australia; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain; Shelton Peiris, The University of Sydney, Australia; Abhay K. Singh, Edith Cowan University, Australia
  • Publication date
    November 6, 2015
  • Keywords
    Non linear models, time series, non-parametric, smooth-transition regression models, neural networks, GMDH shell
  • JEL
    C45, C53, F3, G15