๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Fuzzy ARIMA model for forecasting the foreign exchange market

โœ Scribed by Fang-Mei Tseng; Gwo-Hshiung Tzeng; Hsiao-Cheng Yu; Benjamin J.C. Yuan

Publisher
Elsevier Science
Year
2001
Tongue
English
Weight
177 KB
Volume
118
Category
Article
ISSN
0165-0114

No coin nor oath required. For personal study only.

๐Ÿ“œ SIMILAR VOLUMES

Characterization of foreign exchange mar
Characterization of foreign exchange market using the threshold-dealer-model
โœ Kenta Yamada; Hideki Takayasu; Misako Takayasu ๐Ÿ“‚ Article ๐Ÿ“… 2007 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 238 KB

We introduce a deterministic dealer model which implements most of the empirical laws, such as fat tails in the price change distributions, autocorrelation of price change and non-Poissonian intervals. We also clarify the causality between microscopic dealers' dynamics and macroscopic market's empir

The use of ARIMA models for reliability
The use of ARIMA models for reliability forecasting and analysis
โœ S.L. Ho; M. Xie ๐Ÿ“‚ Article ๐Ÿ“… 1998 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 279 KB

This paper investigates the approach to repairable system reliability forecasting based on the Autoregressive Integrated Moving Average (ARIMA) models. This time series technique makes very few assumptions and is very flexible. It is theoretically and statistically sound in its foundation and no a p

High-frequency Markov switching models i
High-frequency Markov switching models in the foreign exchange market
โœ Ian W. Marsh ๐Ÿ“‚ Article ๐Ÿ“… 2000 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 128 KB

This paper estimates two-state Markov models for three daily exchange rate series, and investigates the proยฎtability of following the generated forecasts using the performance of simple chartist trading rules as benchmarks. It is shown that (1) the data are well approximated by Markov models, (2) th

Discrete policy interventions and ration
Discrete policy interventions and rational forecast errors in foreign exchange markets: the uncovered interest parity hypothesis revisited
โœ Dimitris G. Kirikos ๐Ÿ“‚ Article ๐Ÿ“… 2002 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 133 KB

## Abstract This paper combines policy response explanations of the uncovered interest parity puzzle with a time series approach that accounts for discrete central bank interventions. When monetary authorities manage the interest rate differential through an antiโ€inflationary policy rule, which all