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High-frequency Markov switching models in the foreign exchange market

Article Abstract:

An investigation is presented into the profitability of following forecasts resulting from two-state Markov models for three daily exchange rate series. Amongst conclusions drawn are that Markov models approximate the data well but are unstable and therefore currently unsuitable for forecasting.

Author: Marsh, Ian W.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2000
Forecasting, Forecasts and trends, Foreign exchange, Markov processes, Business forecasting

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Conditional density and value-at-risk prediction of Asian Current Exchange rates

Article Abstract:

Research is presented describing the study of financial forecasting techniques to predict outcome rate for the Asian currency exchange.

Author: Mittnik, S, Paolella, M
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2000
Financial analysis, Foreign exchange market

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Forecasting time-dependent conditional densities: a semi-non-parametric neural network approach

Article Abstract:

Research is presented describing the use of neural networks to forecast asset returns for conditional densities.

Author: Schittenkopf, C, Dorffner, G, Dockner, E
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2000
Computer networks, Neural networks, Asset-backed securities, Asset backed securities

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Subjects list: Research, United States, Forecasting
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