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The prediction of exchange rates with the use of auto-regressive integrated moving-average models

Spiesová, Daniela - In: Acta Universitatis Danubius / Oeconomica 10 (2014) 5, pp. 28-38

Persistent link: https://www.econbiz.de/10011508382

Univariate forecasting of Indian exchange rates : a comparison

Maitra, Biswajit - In: International journal of computational economics and … 5 (2015) 3, pp. 272-288

Persistent link: https://www.econbiz.de/10011413816

Modelling foreign exchange realized volatility using high frequency data : long memory versus structural breaks

Ben Maatoug, Abderrazak; Lamouchi, Rim; Davidson, Russell; … - In: Central European journal of economic modelling and … 10 (2018) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10011918105

The comparative comparison of exchange rate models

Mahmodpour, Kamran; Badooei, Yaser Sistani; Mohseni, Hadiseh - In: International journal of economics and financial issues … 6 (2016) 2, pp. 380-385

Persistent link: https://www.econbiz.de/10011695482

The construction and application of a new exchange rate forecast model combining ARIMA with a chaotic BP algorithm

Ma, Yonghong; Wu, Zhiyong; Ai, Mingye; Wang, Wei - In: Emerging markets finance & trade : a journal of the … 52 (2016) 4/6, pp. 1481-1495

Persistent link: https://www.econbiz.de/10011563577

Limitation of ARIMA models in financial and monetary economics

Petrică, Andreea-Cristina; Stancu, Stelian; Tindeche, … - In: Theoretical and applied economics : GAER review 23 (2016) 4, pp. 19-42

Persistent link: https://www.econbiz.de/10011597578

An application of a random level shifts model to the volatility of Peruvian stock and exchange rate returns

Ojeda Cunya, Junior Alex; Rodriguez, Gabriel - In: Macroeconomics and finance in emerging market economies 9 (2016) 1/3, pp. 34-55

Persistent link: https://www.econbiz.de/10011583531

Volatility of stock market and exchange rate returns in Peru : long memory or short memory with level shifts?

Herrera Aramburú, Andrés; Rodriguez, Gabriel - In: International journal of monetary economics and finance 9 (2016) 1, pp. 45-66

Persistent link: https://www.econbiz.de/10011548319

Estimating and forecasting generalized fractional long memory stochastic volatility models

Peiris, Shelton; Asai, Manabu; McAleer, Michael - In: Journal of risk and financial management : JRFM 10 (2017) 4, pp. 1-16

This paper considers a flexible class of time series models generated by Gegenbauer polynomials incorporating the long memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model. We examine the corresponding statistical properties of this model,...

Persistent link: https://www.econbiz.de/10011854876

Comparing RMB exchange rate forecasting accuracy based on dynamic BP neural network model and the ARMA model

Ye, Zhiqiang; Ren, Xiang; Shan, Yaling - In: Inventi impact: international trade (2016) 4, pp. 209-213

Persistent link: https://www.econbiz.de/10011684488