Point forecast markov switching model for U.S. Dollar/ Euro exchange rate

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Point forecast markov switching model for U.S. Dollar/ Euro exchange rate

This research proposes a point forecasting method into Markov switching autoregressive model. In case of two regimes, we proved the probability that h periods later process will be in regime 1 or 2 is given by steady-state probabilities. Then, using the value of h-step-ahead forecast data at time...

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Bibliographic Details
Main Authors:	Hamidreza Mostafaei, Maryam Safaei
Format:	Article
Language:	English
Published:	Universiti Kebangsaan Malaysia 2012
Online Access:	http://journalarticle.ukm.my/3939/ http://journalarticle.ukm.my/3939/1/14%2520Hamidreza.pdf

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