Combining time-and frequency-domain analysis demonstrates considerable improvement in modelling seasonal patterns in daily exchange rate changes. A high-pass filter in the frequency domain is used, followed by the usual time-domain analysis with GARCH models, to estimate day-of-the-week effects in t
Modeling Heteroscedasticity in Daily Foreign-Exchange Rates
โ Scribed by David A. Hsieh
- Book ID
- 111888400
- Publisher
- American Statistical Association
- Year
- 1989
- Tongue
- English
- Weight
- 447 KB
- Volume
- 7
- Category
- Article
- ISSN
- 0735-0015
- DOI
- 10.2307/1391528
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
## Abstract Forecasting currency exchange rates is an important financial problem that has received much attention especially because of its intrinsic difficulty and practical applications. The statistical distribution of foreign exchange rates and their linear unpredictability are recurrent themes
It has been shown in recent economic and statistical studies that composite forecasts may produce more accurate forecasts than individual ones. The purpose of this study is to develop composite forecasting models that may produce forecasts superior to the individual forecast implicit in forward exch