✦ LIBER ✦

Can the Markov switching model forecast exchange rates?

✍ Scribed by Charles Engel

Book ID: 115979734
Publisher: Elsevier Science
Year: 1994
Tongue: English
Weight: 886 KB
Volume: 36
Category: Article
ISSN: 0022-1996
DOI: 10.1016/0022-1996(94)90062-0

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## Abstract This paper investigates inference and volatility forecasting using a Markov switching heteroscedastic model with a fat‐tailed error distribution to analyze asymmetric effects on both the conditional mean and conditional volatility of financial time series. The motivation for extending t