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01178 am a22001333u 4500 |
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|a Hamidreza Mostafaei,
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|a Maryam Safaei,
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|a Point forecast markov switching model for U.S. Dollar/ Euro exchange rate
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|b Universiti Kebangsaan Malaysia,
|c 2012-04.
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|z Get fulltext
|u http://journalarticle.ukm.my/3939/1/14%2520Hamidreza.pdf
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|a 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 in each regime and using steady-state probabilities, we present an h-step-ahead point forecast of data. An empirical application of this forecasting technique for U.S. Dollar/ Euro exchange rate showed that Markov switching autoregressive model achieved superior forecasts relative to the random walk with drift. The results of out-of-sample forecast indicate that the fluctuations of U.S. Dollar/ Euro exchange rate from May 2011 to May 2013 will be rising.
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|a en
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