Estimating unknown join points: Determination of the yen-dollar exchange rate

DOI10.1007/BF02425209zbMath1155.91451MaRDI QIDQ1000353

Hiroki Tsurumi, Chyong Lin Chen

Publication date: 6 February 2009

Published in: Financial Engineering and the Japanese Markets (Search for Journal in Brave)

zbMATH Keywords

switching regressionARCHcointegrationGARCHerror correctionBayesian procedurejoin point

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Cites Work

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• Statistical analysis of cointegration vectors
• Bayesian detection of structural changes
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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