Can the Markov Switching Model Forecast Exchange Rates?
收藏NBER1992-11-01 更新2025-01-04 收录
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https://www.nber.org/papers/w4210
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A Markov-switching model is fit for eighteen exchange rates at quarterly and monthly frequencies. This model fits well in-sample at the quarterly frequency for many exchange rates. By the mean-squared-error or mean-absolute-error criterion. the Markov model does not generate superior forecasts at a
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美国国家经济研究局创建时间：
1992-11-01
