haku: @indexterm NON-LINEAR MODELS / yhteensä: 27
viite: 21 / 27
| Tekijä: | Kirikos, D. |
| Otsikko: | The role of the forecast-generating process in assessing asset market models of the exchange rate: a non-linear case |
| Lehti: | European Journal of Finance
1996 : JUN, VOL. 2:2, p. 125-144 |
| Asiasana: | EXCHANGE RATES ASSETS NON-LINEAR MODELS |
| Kieli: | eng |
| Tiivistelmä: | 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. |
SCIMA