頁籤選單縮合
題名 | Fundamentalist, Time-series Analyses and Volatility States= |
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作者 | Li, Leon Ming-yuan; |
期刊 | Asia Pacific Management Review |
出版日期 | 20080300 |
卷期 | 13:1 2008.03[民97.03] |
頁次 | 頁361-372 |
分類號 | 494.542 |
語文 | eng |
關鍵詞 | Fundamentalist; Exchange rate; Time-series analyses; Volatility; Markov-switching; |
英文摘要 | This study tries to answer the question: could be composite model from fundamentalist models and time-series analyses provide investors with better forecasting performances on exchange rates? Moreover, this investigation highlights the relationship between various forecasting techniques and volatility states. The empirical data include the monthly exchange rates between the U.S. dollar and the currencies of three Asian emerging countries: KOW, NTD and SGD from 1980 to 2000. The empirical findings of this study are consistent with the following notions. First, market investors would pay more attention on fundamental variables during volatile periods. Conversely, when the market stabilizes, market participants increase the loadings of the values of lagged exchange rates. Second, the composite model with dynamic loadings outperforms each highbred model for all cases. However, the superior forecasting performance revealed by in-sample test of the composite model with dynamic loading in comparisons the random walk model are remarkable for all cases. Nevertheless, the out-of-sample performance is not promising, particularly in the case of South Korea. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。