Kernel Bandwidth Applications to the Euro and the U.S. Mutual Fund Movements

Timothy J. Brailsford, Jack H.W. Penm, Richard D. Terrell

Research output: Chapter in Book/Report/Conference proceedingChapterResearchpeer-review

3 Citations (Scopus)


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.

Original languageEnglish
Title of host publicationResearch in Finance
EditorsAndrew Chen
Number of pages17
ISBN (Print)0762313455, 9780762313457
Publication statusPublished - 2006
Externally publishedYes

Publication series

NameResearch in Finance
ISSN (Print)0196-3821


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