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This paper investigates the statistical properties of high frequency nominal exchange rates and forward premiums in the context of a dynamic two-country general equilibrium model. Primary focus is on the persistence, variability, leptokurtosis and conditional heteroskedasticity of exchange rates and on the behavior of foreign exchange risk premiums. The model combines temporal dependencies in preferences with a transaction cost technology that generates a role for money. Agents in the economy make decisions on a weekly frequency and face shocks which display time-varying uncertainty. Simulations reveal that the model accounts for the statistical properties of exchange rate data much more accurately than previous structural models.
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Econometric models --- Autocorrelation (Statistics) --- Time-series analysis
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Autocorrelation (Statistics) --- Regression analysis --- Transfer functions
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Rain and rainfall. --- Streamflow --- Hydrology --- Droughts --- Autocorrelation (Statistics) --- Statistical methods.
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Time-series analysis. --- Analysis of time series --- Autocorrelation (Statistics) --- Harmonic analysis --- Mathematical statistics --- Probabilities
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Time-series analysis --- 519.55 --- Analysis of time series --- Autocorrelation (Statistics) --- Harmonic analysis --- Mathematical statistics --- Probabilities
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Readers will learn how these methods work and how these approaches can be used to forecast real life time series. The hybrid forecasting model is also explained. Data presented in this e-book is problem based and is taken from real life situations. It is a valuable resource for students, statisticians and working professionals interested in advanced time series analysis.
Time-series analysis. --- Analysis of time series --- Autocorrelation (Statistics) --- Harmonic analysis --- Mathematical statistics --- Probabilities
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Time-series analysis. --- Analysis of time series --- Autocorrelation (Statistics) --- Harmonic analysis --- Mathematical statistics --- Probabilities
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Rain and rainfall --- Streamflow --- -Hydrology --- -Droughts --- -Autocorrelation (Statistics) --- Statistical methods --- Statistical methods --- Statistical methods
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Mathematical statistics --- Time-series analysis --- Analysis of time series --- Autocorrelation (Statistics) --- Harmonic analysis --- Probabilities --- Time-series analysis.
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