Assessing the forecastibility of ESTAR Models: Evidence from ringgit/yen Rate

QR Code

Assessing the forecastibility of ESTAR Models: Evidence from ringgit/yen Rate

The purpose of this paper is to contribute to the debate on the relevance of nonlinear forecasts in the financial markets. To that end, this study forecasts the yen-based ringgit by using the Exponential Smooth Transition Autoregressive (ESTAR) model. When formally assessed for forecast accuracy, th...

Full description

Bibliographic Details
Main Authors:	Liew, Venus Khim-Sen, Lau, Evan, Ahmad Zubaidi, Baharumshah
Format:	Article
Language:	English
Published:	IUP Publications 2007
Subjects:	HB Economic Theory
Online Access:	http://ir.unimas.my/id/eprint/18622/ http://ir.unimas.my/id/eprint/18622/7/Assessing%20the%20Forecastibility%20of%20ESTAR%20Models%20%28abstract%29.pdf

Similar Items

Performances of Non-linear Smooth Transition Autoregressive and Linear Autoregressive Models in Forecasting the Ringgit-Yen Rate
by: Liew, Venus Khim-Sen, et al.
Published: (2002)

How Well the Ringgit-Yen Rate Fits the Non-linear Smooth Transition Autoregressive and Linear Autoregressive Models
by: Liew, Venus Khim-Sen, et al.
Published: (2002)

Performances of non-linear smooth transition autoregressive and linear autoregressive models in forecasting the Ringgit-Yen rate
by: Liew, Khim Sen, et al.
Published: (2002)

Linear and nonlinear monetary approaches to the exchange rate of the Philippines peso-Japanese yen
by: Liew, Venus Khim-Sen
Published: (2009)

Forecasting Performance of Exponential Smooth Transition Autoregressive Exchange Rate Models
by: Ahmad Zubaidi, Baharumshah, et al.
Published: (2006)

Forecasting Performance of Logistic STAR Exchange Rate Model: The Original and Reparameterised Versions
by: Liew, Venus Khim-Sen, et al.
Published: (2002)

Nonlinear Mean Reversion In Real Exchange Rates: Evidence From The ASEAN-5
by: Ahmad Zubaidi, Baharumshah, et al.
Published: (2003)

Nonlinear Adjustment towards Purchasing Power Parity in ASEAN Exchange Rates
by: Liew, Venus Khim-Sen, et al.
Published: (2004)

A Non-parametric Bootstrap Simulation Study in ESTAR (1) Model
by: Liew, Khim Sen, et al.
Published: (2013)

Predictability of ASEAN-5 Exchange Rates in the Post-Crisis Era
by: Liew, Venus Khim-Sen, et al.
Published: (2003)

The Real Interest Rate Differential : International Evidence Based On Non-Linear Unit Root Tests
by: Ahmad Zubaidi, Baharumshah, et al.
Published: (2009)

Are Asian real exchange rates stationary?
by: Liew, Venus Khim-Sen, et al.
Published: (2004)

Real interest rate parity in the ASEAN-5 countries: a nonlinear perspective
by: Ahmad Zubaidi, Baharumshah, et al.
Published: (2008)

Nonlinear Adjustment Of Real Exchange Rates Towards Purchasing Power Parity And The Asian Financial Crisis
by: Liew, Venus Khim-Sen, et al.
Published: (2005)

The Predibility of Asean-5 Exchange Rates
by: Ahmad Zubaidi, Baharumshah, et al.
Published: (2000)

ASEAN-5 Exchange Rate Determination In The Presence Of Nonlinearity
by: Venus Liew, Khim Sen, et al.
Published: (2011)

Forecasting performance of exponential smooth transition autoregressive exchange rate models
by: Baharumshah, Ahmad Zubaidi, et al.
Published: (2006)

Time series modelling and forecasting of Sarawak black pepper price
by: Liew, Venus Khim-Sen, et al.
Published: (2006)

Budget and Current Account Deficits in SEACEN Countries: Evidence Based on the Panel Approach
by: Ahmad Zubaidi, Baharumshah, et al.
Published: (2005)

Money Demand in Malaysia: Further Empirical Evidence
by: Huzaimi, Hussain, et al.
Published: (2006)

On Singaporean Dollar-U.S. Dollar and Purchasing Power Parity
by: Liew, Venus Khim-Sen, et al.
Published: (2004)

Income convergence: fresh evidence from the Nordic countries
by: Liew, Venus Khim-Sen, et al.
Published: (2009)

The Tale Of The Twin Deficits Nexus: An Alternative Procedure
by: Lau, Evan, et al.
Published: (2004)

The inadequacy of linear autoregressive model for real exchange rates: empirical evidence from Asian economies
by: Liew, Venus Khim-Sen, et al.
Published: (2003)

The Linearity Property Of Asean-5 Real Exchange Rates In Pre-Asian Currency Crisis Period
by: Venus, Khim-Sen Liew, et al.
Published: (2004)

Nonlinear Real Exchange Rate Behavior: Are the African Currencies Exceptional?
by: Anoruo, Emmanuel, et al.
Published: (2006)

Nonlinear mean reversion in stock prices: evidence from Asian markets
by: Lim, Kian-Ping, et al.
Published: (2007)

Purchasing Power Parity (PPP) in a Transition Economy - Cambodia: Empirical Evidence from Bilateral Exchange Rates
by: Tuck, Cheong Tang, et al.
Published: (2009)

Exchange Rate And Trade Balance Relationship: The Experience Of Asean Countries
by: Liew, Venus Khim-Sen, et al.
Published: (2003)

Evidence on the Day-of-the-Week Effect and Asymmetric Behavior in the Bombay Stock Exchange
by: Chia, Ricky Chee-Jiun, et al.
Published: (2010)

The Validity of PPP Revisited: An Application of Non-linear Unit Root Test
by: Liew, Venus Khim-Sen
Published: (2003)

In the current global economic climate, what are the factors that will affect the ringgit exchange rate
by: Chia, Jing Ying, et al.
Published: (2023)

Forecasting Malaysian Business Cycle Movement:Empirical Evidence from Composite Leading Indicator
by: Wong, Shirly Siew-Ling, et al.
Published: (2012)

On the sustainability of current account deficits: evidence from four ASEAN countries
by: Evan, Lau, et al.
Published: (2002)

On the Twin Deficits Hypothesis: Is Malaysia Different?
by: Evan, Lau, et al.
Published: (2004)

Sustainability of External Imbalances: The Case of Malaysia
by: Evan, Lau, et al.
Published: (2003)

Mean-reverting behavior of current account in Asian countries
by: Lau, Evan, et al.
Published: (2005)

Episodic Non-Linearity And Non-Stationarity In Asean Exchange Rates Returns Series
by: Lim, Kian-Ping, et al.
Published: (2003)

Statistical Inadequacy of GARCH Models for Asian Stock Markets: Evidence and Implications
by: Lim, Kian-Ping, et al.
Published: (2005)

Exchange rates forecasting model: an alternative estimation procedure
by: Baharumshah, Ahmad Zubaidi, et al.
Published: (2004)