## Abstract We consider a new time series model that can describe long memory and nonlinearity simultaneously and can be used to assess an extensive evaluation of the outβofβsample forecasting performance of the nonlinear longβmemory model. Upon fitting it to the real exchange rate, we find that a
β¦ LIBER β¦
The out-of-sample forecasting performance of nonlinear models of real exchange rate behavior
β Scribed by David E. Rapach; Mark E. Wohar
- Book ID
- 113647852
- Publisher
- Elsevier Science
- Year
- 2006
- Tongue
- English
- Weight
- 413 KB
- Volume
- 22
- Category
- Article
- ISSN
- 0169-2070
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## ABSTRACT This paper deals with the nonlinear modeling and forecasting of the dollarβsterling and francβsterling 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
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