Application of the threshold model for modelling and forecasting of exchange rate in selected ASEAN countries

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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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Bibliographic Details
Main Authors:	Gharleghi, Behrooz, Abu Hassan Shaari Md Nor, Tamat Sarmidi
Format:	Article
Language:	English
Published:	Universiti Kebangsaan Malaysia 2014
Online Access:	http://journalarticle.ukm.my/7825/ http://journalarticle.ukm.my/7825/1/19_Abu_Hassan_Shaari.pdf

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