Forecasting performance of exponential smooth transition autoregressive exchange rate models

• 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/18311/1/Forecasting%20performance%20of%20exponential%20smooth%20transition%20autoregressive%20exchange%20rate%20models.pdf; http://psasir.upm.edu.my/id/eprint/18311/; http://link.springer.com/article/10.1007%2Fs11079-006-6812-7
• Institution: Universiti Putra Malaysia

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...