Cover Image

Markov switching models for time series data with dramatic jumps

In this research, the Markov switching autoregressive (MS-AR) model and six different time series modeling approaches are considered. These models are compared according to their performance for capturing the Iranian exchange rate series. The series has dramatic jump in early 2002 which coincides wi...

Full description

Saved in:
Bibliographic Details
Main Authors: Masoud Yarmohammadi,, Hamidreza Mostafaei,, Maryam Safaei,
Format: Article
Language:English
Published: Universiti Kebangsaan Malaysia 2012
Online Access:http://journalarticle.ukm.my/3592/1/15%2520Masoud.pdf
http://journalarticle.ukm.my/3592/
http://www.ukm.my/jsm/contents.html
Tags: Add Tag
No Tags, Be the first to tag this record!
id my-ukm.journal.3592
record_format eprints
spelling my-ukm.journal.35922016-12-14T06:34:53Z http://journalarticle.ukm.my/3592/ Markov switching models for time series data with dramatic jumps Masoud Yarmohammadi, Hamidreza Mostafaei, Maryam Safaei, In this research, the Markov switching autoregressive (MS-AR) model and six different time series modeling approaches are considered. These models are compared according to their performance for capturing the Iranian exchange rate series. The series has dramatic jump in early 2002 which coincides with the change in policy of the exchange rate regime. Our criteria are based on the AIC and BIC values. The results indicate that the MS-AR model can be considered as useful model, with the best fit, to evaluate the behaviors of Iran’s exchange rate Universiti Kebangsaan Malaysia 2012-03 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/3592/1/15%2520Masoud.pdf Masoud Yarmohammadi, and Hamidreza Mostafaei, and Maryam Safaei, (2012) Markov switching models for time series data with dramatic jumps. Sains Malaysiana, 41 (3). pp. 371-377. ISSN 0126-6039 http://www.ukm.my/jsm/contents.html
institution Universiti Kebangsaan Malaysia
building Perpustakaan Tun Sri Lanang Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Kebangsaan Malaysia
content_source UKM Journal Article Repository
url_provider http://journalarticle.ukm.my/
language English
description In this research, the Markov switching autoregressive (MS-AR) model and six different time series modeling approaches are considered. These models are compared according to their performance for capturing the Iranian exchange rate series. The series has dramatic jump in early 2002 which coincides with the change in policy of the exchange rate regime. Our criteria are based on the AIC and BIC values. The results indicate that the MS-AR model can be considered as useful model, with the best fit, to evaluate the behaviors of Iran’s exchange rate
format Article
author Masoud Yarmohammadi,
Hamidreza Mostafaei,
Maryam Safaei,
spellingShingle Masoud Yarmohammadi,
Hamidreza Mostafaei,
Maryam Safaei,
Markov switching models for time series data with dramatic jumps
author_facet Masoud Yarmohammadi,
Hamidreza Mostafaei,
Maryam Safaei,
author_sort Masoud Yarmohammadi,
title Markov switching models for time series data with dramatic jumps
title_short Markov switching models for time series data with dramatic jumps
title_full Markov switching models for time series data with dramatic jumps
title_fullStr Markov switching models for time series data with dramatic jumps
title_full_unstemmed Markov switching models for time series data with dramatic jumps
title_sort markov switching models for time series data with dramatic jumps
publisher Universiti Kebangsaan Malaysia
publishDate 2012
url http://journalarticle.ukm.my/3592/1/15%2520Masoud.pdf
http://journalarticle.ukm.my/3592/
http://www.ukm.my/jsm/contents.html
_version_ 1643735780155195392
score 13.211869

Similar Items