Marrocu, Emanuela; Boero, Gianna - Royal Economic Society - RES - 2003
The aim of this paper is to analyse the out-of-sample performance of SETAR models using daily data for the Euro … models. The results show that, in general, the performance of the SETAR models improves significantly for the forecasts … the models are evaluated unconditionally, over the whole forecast period, and conditionally, on the regimes of the SETAR …