Modelling exchange rates using regime switching models
The behaviour of many financial time series cannot be modeled solely by linear time series model. Phenomena such as mean reversion, volatility of stock markets and structural breaks cannot be modelled implicitly using simple linear time series model. Thus, to overcome this problem, nonlinear time s...
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| Format: | Article |
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Universiti Kebangsaan Malaysia
2006
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| Online Access: | http://journalarticle.ukm.my/3990/ http://journalarticle.ukm.my/3990/ |