Application of the threshold model for modelling and forecasting of exchange rate in selected ASEAN countries
Linear time series models are not able to capture the behaviour of many financial time series, as in the cases of exchange rates and stock market data. Some phenomena, such as volatility and structural breaks in time series data, cannot be modelled implicitly using linear time series models. Therefo...
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| Format: | Journal |
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Sains Malaysiana, Penerbit Universiti Kebangsaan Malaysia
2014
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| Online Access: | http://www.myjurnal.my/public/article-view.php?id=81256 |