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dc.contributor.authorCai, Zongwu
dc.contributor.authorChen, Linna
dc.contributor.authorFang, Ying
dc.date.accessioned2014-04-25T19:39:04Z
dc.date.available2014-04-25T19:39:04Z
dc.date.issued2012-09-18
dc.identifier.citationZongwu 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.issn1558-3708
dc.identifier.urihttp://hdl.handle.net/1808/13592
dc.descriptionThis 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.abstractThis 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.publisherDe Gruyter
dc.titleA New Forecasting Model for USD/CNY Exchange Rate
dc.typeArticle
kusw.kuauthorCai, Zongzu
kusw.kudepartmentEconomics
kusw.oastatusfullparticipation
dc.identifier.doi10.1515/1558-3708.1878
kusw.oaversionScholarly/refereed, publisher version
kusw.oapolicyThis item meets KU Open Access policy criteria.
dc.rights.accessrightsopenAccess


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