Modelling exchange rates using regime switching models

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Modelling exchange rates using regime switching models

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...

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Bibliographic Details
Main Authors:	Mohd Tahir Ismail, Zaidi Isa
Format:	Article
Published:	Universiti Kebangsaan Malaysia 2006
Online Access:	http://journalarticle.ukm.my/3990/

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