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Evaluating forecasts from SETAR models of exchange rates

✍ Scribed by Michael P. Clements; Jeremy Smith

Book ID: 117427650
Publisher: Elsevier Science
Year: 2001
Tongue: English
Weight: 336 KB
Volume: 20
Category: Article
ISSN: 0261-5606
DOI: 10.1016/s0261-5606(00)00039-5

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## ABSTRACT This paper deals with the nonlinear modeling and forecasting of the dollar–sterling and franc–sterling real exchange rates using long spans of data. Our contribution is threefold. First, we provide significant evidence of smooth transition dynamics in the series by employing a battery o