Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)

Two Are Better than One?

Authors
Ming-Yuan Li 0
Corresponding Author
Ming-Yuan Li
0National Cheng Kung University, Taiwan
Available Online October 2006.
DOI
https://doi.org/10.2991/jcis.2006.132How to use a DOI?
Keywords
Chartist, fundamentalist, exchange rate, volatility
Abstract
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.
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Proceedings
Part of series
Advances in Intelligent Systems Research
Publication Date
October 2006
ISBN
978-90-78677-01-7
ISSN
1951-6851
DOI
https://doi.org/10.2991/jcis.2006.132How to use a DOI?
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  - 2006/10
DA  - 2006/10
TI  - Two Are Better than One?
PB  - Atlantis Press
SN  - 1951-6851
UR  - https://doi.org/10.2991/jcis.2006.132
DO  - https://doi.org/10.2991/jcis.2006.132
ID  - Li2006/10
ER  -