Jung, Chulho - In: Journal of Economic Studies 22 (1995) January, pp. 45-57
exchange rate models and switches from one model to another probabilistically, depending on supply shocks or government policy … models can then be estimated simultaneously. Uses the estimated parameters of the model to forecast foreign exchange rate …, and then four foreign exchange rate models are used to estimate the NMM. The out-of-sample forecasting results obtained …