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:: Volume 5, Issue 1 (9-2011) ::
JSS 2011, 5(1): 107-118 Back to browse issues page
Estimation of Transition Probability for Behaviors of Financial Time Series by Markov Switching Autoregressive Model
Maryam Safaei *
Abstract:   (19412 Views)
This paper offers a method of the estimation of the transition probability for the behaviors of financial time series by Markov Switching Autoregressive model. Using this model, the behaviors of fluctuations of exchange rate form two regimes low and high changes rate are considered. Results of prediction show that the persistence probability of regimes will be decreased. Thus, the probability of transition to other regime will be increased if process were in a specific regime.
Keywords: Markov Switching Autoregressive Model, Exchange rate, Prediction, Transition Probability.
Full-Text [PDF 436 kb]   (3684 Downloads)    
Type of Study: Applied | Subject: Applied Statistics
Received: 2011/10/7 | Accepted: 2013/05/14 | Published: 2013/05/14
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Safaei M. Estimation of Transition Probability for Behaviors of Financial Time Series by Markov Switching Autoregressive Model. JSS 2011; 5 (1) :107-118
URL: http://jss.irstat.ir/article-1-53-en.html


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Creative Commons License This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
Volume 5, Issue 1 (9-2011) Back to browse issues page
مجله علوم آماری – نشریه علمی پژوهشی انجمن آمار ایران Journal of Statistical Sciences

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