Exchange Rate Modeling by Multivariate Nonlinear Cointegration Analysis Using Artiicial Neural Networks

  • A. J. T. M. WeerenUFSIA, F. DumortierUFSIA, J. E. J. PlasmansUFSIA
  • Published 1997
In this paper we investigate the merits of artiicial neural networks in forecasting foreign exchange rates. From previous research it is known that it is hard to beat the random walk model using structural exchange rate models. In this paper we show that by using a suitable multivariate speciication a structural model can be derived that beats the random… CONTINUE READING