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EXCHANGE RATE BEHAVIORAL DYNAMICS. Edition No. 1
VDM Publishing House, Dec 2009, Pages: 304
This book addresses the need for an empirical analysis of the behavioral dynamics of exchange rates. It includes discussions on step-by-step and simple to complex approach in the development of econometric theory in two particular areas: Kalman Filter based and ARFIMA modeling. These two methodologies are used to conduct the structural modeling and analysis. Key Features: 1 A new variant of the ARFIMA model is used to perform forecasting and conduct empirical analysis. 2 Kalman Filter based modeling is used to compare and contrast results obtained from the new variant of ARFIMA model. 3 The effects of structural change and the present of outliers are looked into. 4 An empirical verification that the new variant of ARFIMA can beat the random walk in forecasting is presented. 5 A theoretical proof for the validity of the new variant of ARFIMA is given in the appendix. This book is suitable for those who are interested to conduct empirical studies in applied time series.
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