TY - JOUR
T1 - Nonparametric, nonlinear, short-term forecasting
T2 - Theory and evidence for nonlinearities in the commodity markets
AU - Agnon, Yehuda
AU - Golan, Amos
AU - Shearer, Matthew
PY - 1999/12
Y1 - 1999/12
N2 - In this paper we modify and investigate a nonparametric, nearest-neighbor forecasting method. We compare a minimal 'volume' simplex method, constructed out of the E+1 E-dimensional points, with the E+1 nearest points method. We then show nonlinearities in some precious metals commodities.
AB - In this paper we modify and investigate a nonparametric, nearest-neighbor forecasting method. We compare a minimal 'volume' simplex method, constructed out of the E+1 E-dimensional points, with the E+1 nearest points method. We then show nonlinearities in some precious metals commodities.
KW - Commodities
KW - Embedding dimension
KW - Forecasting
KW - Nearest point method
KW - Simplex
UR - http://www.scopus.com/inward/record.url?scp=0033235662&partnerID=8YFLogxK
U2 - 10.1016/s0165-1765(99)00156-1
DO - 10.1016/s0165-1765(99)00156-1
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AN - SCOPUS:0033235662
SN - 0165-1765
VL - 65
SP - 293
EP - 299
JO - Economics Letters
JF - Economics Letters
IS - 3
ER -