Forecasting exchange rates: a robust regression approach

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PREMINGER, Arie ; FRANCK, Raphael (2005)
  • Subject: Robust regression approach | Exchange rates | Forecasting | Neural networks | S-estimation | Outliers | exchange rates, forecasting, neural networks, outliers, robust regression approach, S-estimation
    • jel: jel:F31 | jel:C45 | jel:C53

The least squares estimation method as well as other ordinary estimation method for regression models can be severely affected by a small number of outliers, thus providing poor out-of-sample forecasts. This paper suggests a robust regression approach, based on the S... View more
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