Multivariate nearest-neighbour forecasts of ems exchange rates
检验多变量非参数方法能否改进汇率预测，发现仅对意大利里拉有4.5%的均方误差降低，但统计上不显著且不稳健。
Exchange rate modelling has been a persistent puzzle for international economists. Forecasts from popular models for the exchange rate generally fail to improve upon the random walk out-of-sample. While a multivariate nonparametric approach provides useful information about exchange rates, the model produces forecasts superior to the random walk for only one of the three EMS currencies examined. Using a statistic developed in Mizrach (1991), I find that the forecast improvement, a 4.5 percent reduction in mean squared error for the Lira in daily returns, is not statistically significant. A cross-validation exercise suggests that the improvement is also not robust.