Forecasting exchange rates: a robust regression approach
Robust regression approach | Exchange rates | Forecasting | Neural networks | S-estimation | Outliers | exchange rates, forecasting, neural networks, outliers, robust regression approach, S-estimation
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...