Evaluating non-linear models on point and interval forecasts: an application with exchange rates
The aim of this paper is to compare the forecasting performance of SETAR and GARCH models against a linear benchmark using historical data for two bilateral dollar exchange rates, namely the Japanese Yen and the British Pound. The analysis is carried out with series sampled at weekly and daily freq...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Associazione Economia civile
2012-04-01
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| Series: | PSL Quarterly Review |
| Subjects: | |
| Online Access: | https://rosa.uniroma1.it/rosa04/psl_quarterly_review/article/view/9837 |