Forecasting exchange rates using extended Markov switching models.

by Hok-hoi Fung.Thesis (M.Phil.)--Chinese University of Hong Kong, 1995.Includes bibliographical references (leaves 58-59).LIST OF TABLES --- p.iiLIST OF FIGURES --- p.iiiCHAPTERChapter 1. --- INTRODUCTION --- p.1Chapter 2. --- LITERATURE REVIEW --- p.3Chapter 3. --- METHODOLOGY --- p.6Formulation of the TVTP Model --- p.6Filtered and Smoothed Probabilities --- p.9Maximization of the Expected Log-likelihood --- p.13Chapter 4. --- EMPIRICAL RESULTS --- p.15The Simple 2-state Markov Switching Model --- p.15The TVTP Model --- p.17The 3-state Markov Switching Model --- p.26Chapter 5. --- OUT - OF- SAMPLE FORECASTING --- p.34Chapter 6. --- CONCLUSION --- p.40APPENDICES --- p.42BIBLIOGRAPHY --- p.5