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Forecasting exchange rates using local regression

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  • Marcos Alvarez-Diaz
  • Alberto Alvarez

Abstract

In this article we use a generalization of the standard nearest neighbours, called local regression (LR), to study the predictability of the yen/US$ and pound sterling/US$ exchange rates. We also compare our results with those previously obtained with global methods such as neural networks, genetic programming, data fusion and evolutionary neural networks. We want to verify if we can generalize to the exchange rate forecasting problem the belief that local methods beat global ones.

Suggested Citation

  • Marcos Alvarez-Diaz & Alberto Alvarez, 2010. "Forecasting exchange rates using local regression," Applied Economics Letters, Taylor & Francis Journals, vol. 17(5), pages 509-514.
    • Handle: RePEc:taf:apeclt:v:17:y:2010:i:5:p:509-514
    DOI: 10.1080/13504850801987217
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    Cited by:

    1. Marcos Álvarez-Díaz & Shawkat Hammoudeh & Rangan Gupta, 2013. "Detecting Predictable Non-linear Dynamics in Dow Jones Industrial Average and Dow Jones Islamic Market Indices using Nonparametric Regressions," Working Papers 201385, University of Pretoria, Department of Economics.

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