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: | Hamidreza Mostafaei (Author), Maryam Safaei (Author) |
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Format: | Article |
Language: | English |
Published: |
Universiti Kebangsaan Malaysia,
2012-04.
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Online Access: | Get fulltext |
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