Markov switching models for time series data with dramatic jumps

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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...

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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/ http://journalarticle.ukm.my/3592/1/15%2520Masoud.pdf

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