FORECAST EVALUATION OF THE EXCHANGE RATE USING ARTIFICIAL NEURAL NETWORKS AND ASYMMETRIC COST FUNCTIONS EVALUACIÓN DE PRONÓSTICOS DEL TIPO DE CAMBIO UTILIZANDO REDES NEURONALES Y FUNCIONES DE PÉRDIDA ASIMÉTRICAS

FORECAST EVALUATION OF THE EXCHANGE RATE USING ARTIFICIAL NEURAL NETWORKS AND ASYMMETRIC COST FUNCTIONS EVALUACIÓN DE PRONÓSTICOS DEL TIPO DE CAMBIO UTILIZANDO REDES NEURONALES Y FUNCIONES DE PÉRDIDA ASIMÉTRICAS

We compare forecasts obtained via linear vs. non linear specifications. The models are adjusted to the daily percentage change of the exchange rate and the comparison is done using both symmetric and asymmetric cost functions. Results show that the non linear model (which here takes the form of an A...

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Bibliographic Details
Main Authors: Jalil Munir Andrés, Misas Martha
Format: Article
Language:English
Published: Universidad Nacional de Colombia 2007-05-01
Series:Revista Colombiana de Estadística
Subjects:
Time series models
Nonlinear models
Foreign exchange
Online Access:http://www.revistas.unal.edu.co/index.php/estad/article/view/29446

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