Forecasting exchange rates using extended Markov switching models.

Description

by Hok-hoi Fung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1995. / Includes bibliographical references (leaves 58-59). / LIST OF TABLES --- p.ii / LIST OF FIGURES --- p.iii / CHAPTER / Chapter 1. --- INTRODUCTION --- p.1 / Chapter 2. --- LITERATURE REVIEW --- p.3 / Chapter 3. --- METHODOLOGY --- p.6 / Formulation of the TVTP Model --- p.6 / Filtered and Smoothed Probabilities --- p.9 / Maximization of the Expected Log-likelihood --- p.13 / Chapter 4. --- EMPIRICAL RESULTS --- p.15 / The Simple 2-state Markov Switching Model --- p.15 / The TVTP Model --- p.17 / The 3-state Markov Switching Model --- p.26 / Chapter 5. --- OUT - OF- SAMPLE FORECASTING --- p.34 / Chapter 6. --- CONCLUSION --- p.40 / APPENDICES --- p.42 / BIBLIOGRAPHY --- p.58

Links & Downloads

1. cuhk:320598
2. http://library.cuhk.edu.hk/record=b5888468
3. http://repository.lib.cuhk.edu.hk/en/item/cuhk-320598

Tags

Foreign exchange rates--Forecasting

Markov processes

Additional Fields

Identifer	oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_320598
Date	January 1995
Contributors	Fung, Hok-hoi., Chinese University of Hong Kong Graduate School. Division of Economics.
Publisher	Chinese University of Hong Kong
Source Sets	The Chinese University of Hong Kong
Language	English
Detected Language	English
Type	Text, bibliography
Format	print, iii, 59 leaves : ill ; 30 cm.
Rights	Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/)