Two Are Better than One?
- Ming-Yuan Li 0
- Corresponding Author
- Ming-Yuan Li
0National Cheng Kung University, Taiwan
Available Online undefined NaN.
- https://doi.org/10.2991/jcis.2006.132How to use a DOI?
- Chartist, fundamentalist, exchange rate, volatility
- In this paper we adopt the Markov-switching specification to establish the hybrid model with time-varying loading on each of chartist and fundamentalist techniques. The US dollar exchange rates of four Asian tiger countries’ currencies serve as the representative examples in this paper. Our empirical results demonstrate that the statistic significances and better forecasting appearances of the hybrid model with non-constant weight relative to single technique and the random walk model. In contrast, the performances of the hybrid model with constant weight are trivial. Moreover, the state of chartist (fundamentalist) is associated with the smaller (bigger) volatility measure.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Ming-Yuan Li PY - NaN/NaN DA - NaN/NaN TI - Two Are Better than One? BT - 9th Joint International Conference on Information Sciences (JCIS-06) PB - Atlantis Press UR - https://doi.org/10.2991/jcis.2006.132 DO - https://doi.org/10.2991/jcis.2006.132 ID - LiNaN/NaN ER -