Modelling exchange rates using regime switching models

• Main Authors: Mohd Tahir Ismail,, Zaidi Isa,
• Format: Article
• Published: Universiti Kebangsaan Malaysia 2006
• Online Access: http://journalarticle.ukm.my/3990/; http://www.ukm.my/jsm/english_journals/vol35num2_2006/vol35num2_06page55-62.html

The behaviour of many financial time series cannot be modeled solely by linear time series model. Phenomena such as mean reversion, volatility of stock markets and structural breaks cannot be modelled implicitly using simple linear time series model. Thus, to overcome this problem, nonlinear time s...