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Kernel Bandwidth Applications to the Euro and the U.S. Mutual Fund Movements

Brailsford, Timothy John; Penm, Jack HW; Terrell, Richard

Description

This paper applies the variable forgetting factor and the fixed forgetting factor to financial time-series analysis, and establishes the linkage for the first time between the variable forgetting factor approach and kernel smoothing. We then demonstrate the use of the proposed variable forgetting factor approach to undertake forecasting of the Euro's exchange rates and the CRSP monthly net asset values (NAV). For both applications, the findings show that the kernel bandwidth so determined can...[Show more]

CollectionsANU Research Publications
Date published: 2006
Type: Journal article
URI: http://hdl.handle.net/1885/21392
Source: Research in Finance
DOI: 10.1016/S0196-3821(06)23003-X

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