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

distancesrandom walkforecastingnon-stationary time seriesunit rootsnearest neighboursnaíve forecast

Mathematics Subject Classification ID

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

Cited in

(1)

• Nearest neighbor forecasting using sparse data representation

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