search query: @indexterm Non-linear models / total: 27
reference: 21 / 27
Author: | Kirikos, D. |
Title: | The role of the forecast-generating process in assessing asset market models of the exchange rate: a non-linear case |
Journal: | European Journal of Finance
1996 : JUN, VOL. 2:2, p. 125-144 |
Index terms: | EXCHANGE RATES ASSETS NON-LINEAR MODELS |
Language: | eng |
Abstract: | This paper contains an assessment of three variants of the monetary approach to exchange rate determination when the dynamics of the information variables are described by a Markov switching regimes process which generates non-linear forecasts. A large information set is used and the empirical results are based on monthly data on six major US Dollar exchange rates over the period 1978-90. The relevant cross-equation restrictions are tested statistically and the economic significance of the model is evaluated on the basis of appropriate volatility tests. |
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