Lye, Chun-Teck; Chan, Tze-Haw; Hooy, Chee-Wooi - In: Economics Bulletin 31 (2011) 3, pp. 1960-1967
This paper compares one-step-ahead out-of-sample predictions on Malaysian Ringgit-US Dollar exchange rate using the generalized regression neural network for a range of forecasting horizons from 1991M3 to 2008M8. We find that the monetary fundamentals are significant in explaining the dynamics...