Nedeljković, Milan; Urošević, Branko - In: Journal for Economic Forecasting (2012) 3, pp. 121-141
This paper studies the drivers of the daily dynamics of the nominal dinar-euro exchange rate from September 2006 to June 2010. Using a novel semiparametric approach we are able to incorporate the evidence of nonlinearities under very weak assumptions on the underlying data generating process. We...