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A New Forecasting Model for USD/CNY Exchange Rate
dc.contributor.author | Cai, Zongwu | |
dc.contributor.author | Chen, Linna | |
dc.contributor.author | Fang, Ying | |
dc.date.accessioned | 2014-04-25T19:39:04Z | |
dc.date.available | 2014-04-25T19:39:04Z | |
dc.date.issued | 2012-09-18 | |
dc.identifier.citation | Zongwu Cai, Linna Chen, Ying Fang. 2012. "A New Forecasting Model for USD/CNY Exchange Rate." Studies in Nonlinear Dynamics & Econometrics. Volume 16, Issue 3. http://www.dx.doi.org/10.1515/1558-3708.1878 | |
dc.identifier.issn | 1558-3708 | |
dc.identifier.uri | http://hdl.handle.net/1808/13592 | |
dc.description | This is the publisher's version, also available electronically from http://www.degruyter.com/view/j/snde.2012.16.issue-3/1558-3708.1878/1558-3708.1878.xml. | |
dc.description.abstract | This paper models the return series of USD/CNY exchange rate by considering the conditional mean and conditional volatility simultaneously. An index type functional-coefficient model is adopted to model the conditional mean part and a GARCH type model with a policy dummy variable is applied to the conditional volatility model. We show that the government policy indeed has an impact on the exchange rate dynamic. To evaluate the out-of-sample forecasting ability, a prediction interval is computed by employing nonparametric conditional quantile regression. Our method outperforms other popular models in terms of various criteria. | |
dc.publisher | De Gruyter | |
dc.title | A New Forecasting Model for USD/CNY Exchange Rate | |
dc.type | Article | |
kusw.kuauthor | Cai, Zongzu | |
kusw.kudepartment | Economics | |
kusw.oastatus | fullparticipation | |
dc.identifier.doi | 10.1515/1558-3708.1878 | |
kusw.oaversion | Scholarly/refereed, publisher version | |
kusw.oapolicy | This item meets KU Open Access policy criteria. | |
dc.rights.accessrights | openAccess |