Forecasting performance of exponential smooth transition autoregressive exchange rate models

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Forecasting performance of exponential smooth transition autoregressive exchange rate models

This paper compares the forecasting performance of the Smooth Transition Autoregressive (STAR) model with the conventional linear Autoregressive (AR) and Simple Random Walk (SRW) models. The empirical analysis was conducted using quarterly data for the yen-based currencies of six major East Asian co...

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Bibliographic Details
Main Authors:	Baharumshah, Ahmad Zubaidi, Liew, Venus Khim Sen
Format:	Article
Language:	English
Published:	Springer 2006
Online Access:	http://psasir.upm.edu.my/id/eprint/18311/ http://psasir.upm.edu.my/id/eprint/18311/1/Forecasting%20performance%20of%20exponential%20smooth%20transition%20autoregressive%20exchange%20rate%20models.pdf

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