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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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書誌詳細
主要な著者:	Baharumshah, Ahmad Zubaidi, Liew, Venus Khim Sen
フォーマット:	論文
言語:	English
出版事項:	Springer 2006
オンライン･アクセス:	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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