Sentiment-induced regime switching in density forecasts of emerging markets’ exchange rates : calibrated simulation trumps estimated autoregression
Krystian Jaworski
| Year of publication: |
2019
|
|---|---|
| Authors: | Jaworski, Krystian |
| Published in: |
Bank i kredyt. - Warszawa, ISSN 0137-5520, ZDB-ID 2374691-9. - Vol. 50.2019, 1, p. 83-106
|
| Subject: | evaluating forecasts | regime switching | density forecast | model selection | Value at Risk | Prognoseverfahren | Forecasting model | Wechselkurs | Exchange rate | Schwellenländer | Emerging economies | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012502763