Baharumshah, Ahmad; Liew, Venus - In: Open Economies Review 17 (2006) 2, pp. 235-251
This paper compares the forecasting performance of the Smooth Transition Autoregressive (STAR) model with the conventional linear Autoregressive (AR) and Simple Random Walk (SRW) models. The empirical analysis was conducted using quarterly data for the yen-based currencies of six major East...