time series exchange rate model
Transaction taxes, traders’ behavior and exchange rate risks
... new model of chartist-fundamentalist-interaction in which both groups of traders are allowed to select endogenously between different forecasting models and different investment ...the exchange rate. ...
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GBP/USD Currency Exchange Rate Time Series Forecasting Using Regularized Least-Squares Regression Method
... value. Proper interval should be chosen to search for the optimal parameter in case getting the local minimum value. Tay and Cao [31] suggest that two small values of regularized parameter caused under-fitting the ...
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A Univariate Time Series Autoregressive Integrated Moving Average Model for the Exchange Rate Between Nigerian Naira and US Dollar
... the series display an Autoregressive (AR) signature, however, if the ACF display a sharp cut-off while the PACF decay more slowly, we say that the series display a Moving Average(MA) ...single model, ...
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Time-series modelling in financial markets : new approaches and exchange rate applications
... VAR model have all non-zero ...VAR model can be quite different from the actual specification, as there can be zero entries in the coefficient matrices of the ...sub-optimal model design induced by ...
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Time Series Analysis to Model and Forecast Inflation Rate in Nigeria
... Various factors affect the stability of an economy; these factors can either be small (microeconomic factors) or large (macroeconomic factors). Every player (e.g. the common man, policy makers, government and its ...
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REAL EXCHANGE RATE INSTABILITY AND FOREIGN PRIVATE INVESTMENT IN NIGERIA: A CAUSALITY ANALYSIS (1986 - 2008)
... “Exchange Rate Volatility, Inflation Uncertainty and Foreign Direct Investment in Nigeria, ...of time series data covering the period between 1970 and 2005, in estimating their ...GARCH ...
14
The Reasons for Foreign Exchange Reserves Accumulation in Hong Kong: A Cointegration and Vector Error Correction Approach
... apply time series approach to investigate the foreign exchange accumulation in ...correction model to investigate the foreign exchange reserves accumulation in China from 1950s to ...
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Structural breaks and outliers detection in time-series econometrics: Methods and applications
... real exchange rate shows the most puzzling behaviour, modelling outliers seems to drastically reduce the extent of this ...the time period ...final model for UK, South Africa, Japan and ...the ...
212
Estimating the error correction model for Sudanese exchange rate
... this model is least squares regression, Engle and Granger (1987), which is shown to give a super consistent estimator by Stock ...in time series ...more series are cointegrated if each ...
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An ARIMA analysis of the Indian Rupee/USD exchange rate in India
... annual time series data on the Indian Rupee / USD exchange rate from 1960 to 2017, to model and forecast exchange rates using the Box-Jenkins ARIMA ...6) model, the ...
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Continuous time regime-switching model applied to foreign exchange rate
... the exchange rate behavior using the non mean-reverting Markov switching model based on quarterly data in the exchange rate during the period of 1973-1988, and find that Markov switching ...
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Modeling the Exchange Rate of the Nigeria Naira to Some other Major Currencies
... An exchange rate is the value of a country’s currency in relation to another country or economic ...Most exchange rates are free-floating and will rise or fall based on supply and demand in the ...an ...
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Central Bank Credibility and Black Market Exchange Rate Premia: A Panel Time Series Analysis
... univariate time-series analysis to evaluate credibility effects, which could be difficult to distinguish between changes in the goodness-of-fit of the time- series model generating ...
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Modelling Currency Crises in Nigeria: An Application of Logit Model
... real exchange rate misalignment (RER Misalignment) was based on computed deviations of the actual real exchange rate from its long run equilibrium ...on exchange rate volatility ...
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Escalation of Forecasting Accuracy through Linear Combiners of Predictive Models
... financial time series is a challenging and complex task as it is highly associated with uncertainties, nonlinearity, etc and talks to the current economical as well as political ...a model. Also, ...
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Examining the Effect of Exchange Rate and Overseas Employment on Remittances: An Evidence from Bangladesh
... of exchange rate and overseas employment on remittances in the Ban- gladesh economy using time series econometric techniques, particularly, vec- tor error correction model to ...
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Forecasting exchange rate between the ghana cedi and the us dollar using time series analysis
... and model selection is a classical topic covered in most textbooks on time series analysis, ...present model: thus the GHC per USD exchange rate only ...regarding ...
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Panel Cointegration and the Monetary Exchange Rate Model
... one time series but a panel of multiple ...conventional time series unit root and cointegration tests, see Breitung and Pesaran (2008) for a recent overview of the ...monetary model, ...
21
Exchange Rate Volatility and Trade Deficit in Pakistan: A Time Series Analysis
... the exchange rate volatility in Pakistan within the time of 1981m07 to 2017m04 at that point discover its impacts on trade ...of exchange rate volatility on trade in Pakistan. ...
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China’s exchange rate regimes revisited and bubble detection in 2005-2015
... five exchange rate regimes in 2005-2015 and investigates the relationships among the currencies of the Chinese Yuan, the ...Singularity model is proposed as a generic parameterization to capture the ...
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