PL EN


Journal
2008 | 2 | 1-9
Article title

Prediction of Exchange Rates With Autoregressive Model With Exponential Forgetting

Content
Title variants
Languages of publication
EN
Abstracts
EN
The paper deals with a first-order autoregression model with parameter estimation with exponential forgetting, known and well established in the mathematical system theory. However, the use of exponential forgetting in econometry is not a standard. Under the assumption of slow timevariability of model parameters and model stationarity, this estimation method could however lead to significant improvement of the prediction quality. In this paper, we describe the Bayesian approach to such a modelling and parameter estimation. The use of the method is demonstrated on a one-step-ahead prediction of the EUR-USD exchange rate.
Journal
Year
Volume
2
Pages
1-9
Physical description
Dates
published
22.12.2008
Contributors
author
  • redakcevste@gmail.com, Redakce Littera Scripta, Okružní 10, 370 01 České Budějovice, Czech Republic
References
Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.desklight-d92bb9d1-5e5c-4a8e-acb0-932835c06dc3
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