Point forecast markov switching model for U.S. Dollar/ Euro exchange rate
This research proposes a point forecasting method into Markov switching autoregressive model. In case of two regimes, we proved the probability that h periods later process will be in regime 1 or 2 is given by steady-state probabilities. Then, using the value of h-step-ahead forecast data at time t...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Universiti Kebangsaan Malaysia,
2012-04.
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| Online Access: | Get fulltext |