Forecasting major Asian exchange rates using a new semiparametric STAR model
Abstract To forecast exchange rates, this paper proposes a new semiparametric smooth transition autoregressive model by allowing state variables to enter into the transition function in a nonparametric way. We propose a three-stage estimation procedure to estimate both the parametric and nonparametr...
Ausführliche Beschreibung
Autor*in: |
Cai, Nan [verfasserIn] |
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Format: |
Artikel |
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Sprache: |
Englisch |
Erschienen: |
2014 |
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Schlagwörter: |
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Anmerkung: |
© Springer-Verlag Berlin Heidelberg 2014 |
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Übergeordnetes Werk: |
Enthalten in: Empirical economics - Springer Berlin Heidelberg, 1976, 48(2014), 1 vom: 03. Dez., Seite 407-426 |
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Übergeordnetes Werk: |
volume:48 ; year:2014 ; number:1 ; day:03 ; month:12 ; pages:407-426 |
Links: |
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DOI / URN: |
10.1007/s00181-014-0888-5 |
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Katalog-ID: |
OLC2063188416 |
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10.1007/s00181-014-0888-5 doi (DE-627)OLC2063188416 (DE-He213)s00181-014-0888-5-p DE-627 ger DE-627 rakwb eng 650 VZ 000 330 VZ Cai, Nan verfasserin aut Forecasting major Asian exchange rates using a new semiparametric STAR model 2014 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © Springer-Verlag Berlin Heidelberg 2014 Abstract To forecast exchange rates, this paper proposes a new semiparametric smooth transition autoregressive model by allowing state variables to enter into the transition function in a nonparametric way. We propose a three-stage estimation procedure to estimate both the parametric and nonparametric parts in the new model, and a simulation study is conducted to demonstrate satisfactory finite sample performance. The empirical results, based on the proposed model applied to forecasting five major Asian exchange rates, show that the new model has some advantages in out-of-sample forecasting performance. Nonlinearity Out-of-sample forecasting Semiparametric estimation STAR model Time-varying Cai, Zongwu aut Fang, Ying aut Xu, Qiuhua aut Enthalten in Empirical economics Springer Berlin Heidelberg, 1976 48(2014), 1 vom: 03. Dez., Seite 407-426 (DE-627)130166235 (DE-600)519394-1 (DE-576)015709310 0377-7332 nnns volume:48 year:2014 number:1 day:03 month:12 pages:407-426 https://doi.org/10.1007/s00181-014-0888-5 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_11 GBV_ILN_26 GBV_ILN_40 GBV_ILN_60 GBV_ILN_70 GBV_ILN_130 GBV_ILN_2005 GBV_ILN_2018 GBV_ILN_4012 GBV_ILN_4193 GBV_ILN_4277 GBV_ILN_4318 GBV_ILN_4323 AR 48 2014 1 03 12 407-426 |
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10.1007/s00181-014-0888-5 doi (DE-627)OLC2063188416 (DE-He213)s00181-014-0888-5-p DE-627 ger DE-627 rakwb eng 650 VZ 000 330 VZ Cai, Nan verfasserin aut Forecasting major Asian exchange rates using a new semiparametric STAR model 2014 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © Springer-Verlag Berlin Heidelberg 2014 Abstract To forecast exchange rates, this paper proposes a new semiparametric smooth transition autoregressive model by allowing state variables to enter into the transition function in a nonparametric way. We propose a three-stage estimation procedure to estimate both the parametric and nonparametric parts in the new model, and a simulation study is conducted to demonstrate satisfactory finite sample performance. The empirical results, based on the proposed model applied to forecasting five major Asian exchange rates, show that the new model has some advantages in out-of-sample forecasting performance. Nonlinearity Out-of-sample forecasting Semiparametric estimation STAR model Time-varying Cai, Zongwu aut Fang, Ying aut Xu, Qiuhua aut Enthalten in Empirical economics Springer Berlin Heidelberg, 1976 48(2014), 1 vom: 03. Dez., Seite 407-426 (DE-627)130166235 (DE-600)519394-1 (DE-576)015709310 0377-7332 nnns volume:48 year:2014 number:1 day:03 month:12 pages:407-426 https://doi.org/10.1007/s00181-014-0888-5 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_11 GBV_ILN_26 GBV_ILN_40 GBV_ILN_60 GBV_ILN_70 GBV_ILN_130 GBV_ILN_2005 GBV_ILN_2018 GBV_ILN_4012 GBV_ILN_4193 GBV_ILN_4277 GBV_ILN_4318 GBV_ILN_4323 AR 48 2014 1 03 12 407-426 |
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10.1007/s00181-014-0888-5 doi (DE-627)OLC2063188416 (DE-He213)s00181-014-0888-5-p DE-627 ger DE-627 rakwb eng 650 VZ 000 330 VZ Cai, Nan verfasserin aut Forecasting major Asian exchange rates using a new semiparametric STAR model 2014 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © Springer-Verlag Berlin Heidelberg 2014 Abstract To forecast exchange rates, this paper proposes a new semiparametric smooth transition autoregressive model by allowing state variables to enter into the transition function in a nonparametric way. We propose a three-stage estimation procedure to estimate both the parametric and nonparametric parts in the new model, and a simulation study is conducted to demonstrate satisfactory finite sample performance. The empirical results, based on the proposed model applied to forecasting five major Asian exchange rates, show that the new model has some advantages in out-of-sample forecasting performance. Nonlinearity Out-of-sample forecasting Semiparametric estimation STAR model Time-varying Cai, Zongwu aut Fang, Ying aut Xu, Qiuhua aut Enthalten in Empirical economics Springer Berlin Heidelberg, 1976 48(2014), 1 vom: 03. Dez., Seite 407-426 (DE-627)130166235 (DE-600)519394-1 (DE-576)015709310 0377-7332 nnns volume:48 year:2014 number:1 day:03 month:12 pages:407-426 https://doi.org/10.1007/s00181-014-0888-5 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_11 GBV_ILN_26 GBV_ILN_40 GBV_ILN_60 GBV_ILN_70 GBV_ILN_130 GBV_ILN_2005 GBV_ILN_2018 GBV_ILN_4012 GBV_ILN_4193 GBV_ILN_4277 GBV_ILN_4318 GBV_ILN_4323 AR 48 2014 1 03 12 407-426 |
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10.1007/s00181-014-0888-5 doi (DE-627)OLC2063188416 (DE-He213)s00181-014-0888-5-p DE-627 ger DE-627 rakwb eng 650 VZ 000 330 VZ Cai, Nan verfasserin aut Forecasting major Asian exchange rates using a new semiparametric STAR model 2014 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © Springer-Verlag Berlin Heidelberg 2014 Abstract To forecast exchange rates, this paper proposes a new semiparametric smooth transition autoregressive model by allowing state variables to enter into the transition function in a nonparametric way. We propose a three-stage estimation procedure to estimate both the parametric and nonparametric parts in the new model, and a simulation study is conducted to demonstrate satisfactory finite sample performance. The empirical results, based on the proposed model applied to forecasting five major Asian exchange rates, show that the new model has some advantages in out-of-sample forecasting performance. Nonlinearity Out-of-sample forecasting Semiparametric estimation STAR model Time-varying Cai, Zongwu aut Fang, Ying aut Xu, Qiuhua aut Enthalten in Empirical economics Springer Berlin Heidelberg, 1976 48(2014), 1 vom: 03. Dez., Seite 407-426 (DE-627)130166235 (DE-600)519394-1 (DE-576)015709310 0377-7332 nnns volume:48 year:2014 number:1 day:03 month:12 pages:407-426 https://doi.org/10.1007/s00181-014-0888-5 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_11 GBV_ILN_26 GBV_ILN_40 GBV_ILN_60 GBV_ILN_70 GBV_ILN_130 GBV_ILN_2005 GBV_ILN_2018 GBV_ILN_4012 GBV_ILN_4193 GBV_ILN_4277 GBV_ILN_4318 GBV_ILN_4323 AR 48 2014 1 03 12 407-426 |
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10.1007/s00181-014-0888-5 doi (DE-627)OLC2063188416 (DE-He213)s00181-014-0888-5-p DE-627 ger DE-627 rakwb eng 650 VZ 000 330 VZ Cai, Nan verfasserin aut Forecasting major Asian exchange rates using a new semiparametric STAR model 2014 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © Springer-Verlag Berlin Heidelberg 2014 Abstract To forecast exchange rates, this paper proposes a new semiparametric smooth transition autoregressive model by allowing state variables to enter into the transition function in a nonparametric way. We propose a three-stage estimation procedure to estimate both the parametric and nonparametric parts in the new model, and a simulation study is conducted to demonstrate satisfactory finite sample performance. The empirical results, based on the proposed model applied to forecasting five major Asian exchange rates, show that the new model has some advantages in out-of-sample forecasting performance. Nonlinearity Out-of-sample forecasting Semiparametric estimation STAR model Time-varying Cai, Zongwu aut Fang, Ying aut Xu, Qiuhua aut Enthalten in Empirical economics Springer Berlin Heidelberg, 1976 48(2014), 1 vom: 03. Dez., Seite 407-426 (DE-627)130166235 (DE-600)519394-1 (DE-576)015709310 0377-7332 nnns volume:48 year:2014 number:1 day:03 month:12 pages:407-426 https://doi.org/10.1007/s00181-014-0888-5 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_11 GBV_ILN_26 GBV_ILN_40 GBV_ILN_60 GBV_ILN_70 GBV_ILN_130 GBV_ILN_2005 GBV_ILN_2018 GBV_ILN_4012 GBV_ILN_4193 GBV_ILN_4277 GBV_ILN_4318 GBV_ILN_4323 AR 48 2014 1 03 12 407-426 |
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Forecasting major Asian exchange rates using a new semiparametric STAR model |
abstract |
Abstract To forecast exchange rates, this paper proposes a new semiparametric smooth transition autoregressive model by allowing state variables to enter into the transition function in a nonparametric way. We propose a three-stage estimation procedure to estimate both the parametric and nonparametric parts in the new model, and a simulation study is conducted to demonstrate satisfactory finite sample performance. The empirical results, based on the proposed model applied to forecasting five major Asian exchange rates, show that the new model has some advantages in out-of-sample forecasting performance. © Springer-Verlag Berlin Heidelberg 2014 |
abstractGer |
Abstract To forecast exchange rates, this paper proposes a new semiparametric smooth transition autoregressive model by allowing state variables to enter into the transition function in a nonparametric way. We propose a three-stage estimation procedure to estimate both the parametric and nonparametric parts in the new model, and a simulation study is conducted to demonstrate satisfactory finite sample performance. The empirical results, based on the proposed model applied to forecasting five major Asian exchange rates, show that the new model has some advantages in out-of-sample forecasting performance. © Springer-Verlag Berlin Heidelberg 2014 |
abstract_unstemmed |
Abstract To forecast exchange rates, this paper proposes a new semiparametric smooth transition autoregressive model by allowing state variables to enter into the transition function in a nonparametric way. We propose a three-stage estimation procedure to estimate both the parametric and nonparametric parts in the new model, and a simulation study is conducted to demonstrate satisfactory finite sample performance. The empirical results, based on the proposed model applied to forecasting five major Asian exchange rates, show that the new model has some advantages in out-of-sample forecasting performance. © Springer-Verlag Berlin Heidelberg 2014 |
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Forecasting major Asian exchange rates using a new semiparametric STAR model |
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https://doi.org/10.1007/s00181-014-0888-5 |
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author2 |
Cai, Zongwu Fang, Ying Xu, Qiuhua |
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Cai, Zongwu Fang, Ying Xu, Qiuhua |
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10.1007/s00181-014-0888-5 |
up_date |
2024-07-03T17:59:58.503Z |
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