Forecast comparison of exchange rate models with the Kalman filter
β Scribed by Pin Ng; Asdollah Heidari
- Book ID
- 116070903
- Publisher
- Elsevier Science
- Year
- 1992
- Tongue
- English
- Weight
- 623 KB
- Volume
- 41
- Category
- Article
- ISSN
- 0040-1625
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
In a recent paper Hamilton et al. (1973) evaluated the use of a Kalman filter in a multivariable process industry feedback control system. In addition to analyzing the sensitivity of the Kalman filter to various parameters, they compared its performance to that of an exponential filter commonly used
## Abstract In recent years there has been a considerable development in modelling nonβlinearities and asymmetries in economic and financial variables. The aim of the current paper is to compare the forecasting performance of different models for the returns of three of the most traded exchange rat