Exchange rate predictability: Multi-State Markov-Switching model and trend with controlled smoothness
This study presents an exchange rate (Mexican Pesos / U.S. Dollar) forecasting model. The statistical methodology used is based on the Multi-State Markov Switching model with three different specifications. The model is applied to the trend of the time series data instead of the original observatio...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Universidade de São Paulo (USP)
2025-03-01
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| Series: | Estudos Econômicos |
| Subjects: | |
| Online Access: | https://www.revistas.usp.br/ee/article/view/221028 |
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