TY  - CHAP
AB  - 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 improve the forecasting performance.
VL  - 23
SN  - 978-1-84950-441-6, 978-0-7623-1345-7/0196-3821
DO  - 10.1016/S0196-3821(06)23003-X
UR  - https://doi.org/10.1016/S0196-3821(06)23003-X
A1  - Brailsford Timothy J.
A2  - Penm Jack H.W.
A3  - Terrell Richard D.
ED  - Andrew H. Chen
PY  - 2006
Y1  - 2006/01/01
TI  - Kernel Bandwidth Applications to the Euro and the U.S. Mutual Fund Movements
T2  - Research in Finance
T3  - Research in Finance
PB  - Emerald Group Publishing Limited
SP  - 81
EP  - 97
Y2  - 2019/09/15
ER  -