High-frequency Markov switching models in the foreign exchange market
Article Abstract:
An investigation is presented into the profitability of following forecasts resulting from two-state Markov models for three daily exchange rate series. Amongst conclusions drawn are that Markov models approximate the data well but are unstable and therefore currently unsuitable for forecasting.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2000
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Conditional density and value-at-risk prediction of Asian Current Exchange rates
Article Abstract:
Research is presented describing the study of financial forecasting techniques to predict outcome rate for the Asian currency exchange.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2000
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Forecasting time-dependent conditional densities: a semi-non-parametric neural network approach
Article Abstract:
Research is presented describing the use of neural networks to forecast asset returns for conditional densities.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2000
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