Boero, Gianna; Marrocu, Emanuela - In: BNL Quarterly Review 58 (2005) 232, pp. 91-120
The aim of this paper is to compare the forecasting performance of SETAR and GARCHmodels against a linear benchmark using historical data for two bilateral dollarexchange rates, namely the Japanese Yen and the British Pound. The analysis is carried out with series sampled at weekly and daily...