Estimating unknown join points: Determination of the yen-dollar exchange rate

DOI10.1007/BF02425209zbMath1155.91451MaRDI QIDQ1000353

Hiroki Tsurumi, Chyong Lin Chen

Publication date: 6 February 2009

Published in: Financial Engineering and the Japanese Markets (Search for Journal in Brave)

zbMATH Keywords

switching regression; ARCH; cointegration; GARCH; error correction; Bayesian procedure; join point

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91B84: Economic time series analysis

91B82: Statistical methods; economic indices and measures