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http://dx.doi.org/10.5351/KJAS.2013.26.1.001

Time Series Models for Daily Exchange Rate Data  

Kim, Bomi (Department of Statistics, Duksung Women's University)
Kim, Jaehee (Department of Statistics, Duksung Women's University)
Publication Information
The Korean Journal of Applied Statistics / v.26, no.1, 2013 , pp. 1-14 More about this Journal
Abstract
ARIMA and ARIMA+IGARCH models are fitted and compared for daily Korean won/US dollar exchange rate data over 17 years. A linear structural change model and an autoregressive structural change model are fitted for multiple change-point estimation since there seems to be structural change with this data.
Keywords
ARIMA; BIC; Exchange rate; GARCH; IGARCH; structural change-points; structural change time series;
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