A three-state Markov-modulated switching model for exchange rates
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Publication:670259
DOI10.1155/2016/5061749zbMATH Open1435.62419DBLPjournals/jam/Ayodeji16OpenAlexW2545659183WikidataQ59125207 ScholiaQ59125207MaRDI QIDQ670259FDOQ670259
Authors: Idowu Oluwasayo Ayodeji 
Publication date: 18 March 2019
Published in: Journal of Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2016/5061749
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Cites Work
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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- Dynamic linear models with Markov-switching
- Geometric equivalence of groups.
- Bias-correction and endogenous lag order algorithm for bootstrap prediction intervals. Discussion on: ``Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions
- A bootstrap-based minimum bias maximum simulated likelihood estimator of mixed logit
Cited In (6)
- Exchange rates and net portfolio flows: a Markov-switching approach
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- Analysis of exchange rates as time-inhomogeneous Markov chain with finite states
- Development of a first order integrated moving average model corrupted with a Markov modulated convex combination of autoregressive moving average errors
- Regime switching model estimation: spectral clustering hidden Markov model
- An empirical investigation of the unbiased forward exchange rate hypothesis in a regime switching market
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