Forecasting performance of exponential smooth transition autoregressive exchange rate models
This paper compares the forecasting performance of the Smooth Transition Autoregressive (STAR) model with the conventional linear Autoregressive (AR) and Simple Random Walk (SRW) models. The empirical analysis was conducted using quarterly data for the yen-based currencies of six major East Asian co...
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| Main Authors: | , |
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| 格式: | Article |
| 語言: | English |
| 出版: |
Springer
2006
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| 在線閱讀: | http://psasir.upm.edu.my/id/eprint/18311/1/Forecasting%20performance%20of%20exponential%20smooth%20transition%20autoregressive%20exchange%20rate%20models.pdf http://psasir.upm.edu.my/id/eprint/18311/ http://link.springer.com/article/10.1007%2Fs11079-006-6812-7 |
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