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Incorporating vintage differences and forecasts into Markov switching models

✍ Scribed by Jeremy J. Nalewaik


Book ID
113648149
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
862 KB
Volume
27
Category
Article
ISSN
0169-2070

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## Abstract This paper uses Markov switching models to capture volatility dynamics in exchange rates and to evaluate their forecasting ability. We identify that increased volatilities in four euro‐based exchange rates are due to underlying structural changes. Also, we find that currencies are close