Distance-based nearest neighbour forecasting with application to exchange rate predictability

DOI10.1093/IMAMAN/DPZ016MaRDI QIDQ5000465zbMATH OpenOpenAlexWikidataFDO

Authors Foteini Kyriazi, Dimitrios Thomakos

Publication date 13 July 2021

Published in IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/imaman/dpz016

zbMATH Keywords

distancesforecastingnaíve forecastnearest neighboursnon-stationary time seriesrandom walkunit roots

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cited in

(3)

• Nearest neighbor forecasting using sparse data representation
• Half-drift forecasting for random walks
• The prescriptive nature of market timing and predictive portfolios

This page was built for publication: Distance-based nearest neighbour forecasting with application to exchange rate predictability

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5000465)