A Model Forecasting Risk for Emerging Market Currencies

Masahiro Fukuhara; Yasufumi Saruwatari

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A Model Forecasting Risk for Emerging Market Currencies

机译：新兴市场货币的风险预测模型

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摘要

In this paper, we propose a risk forecasting model for emerging market currencies. Our model is based on the Markov regime switch which is constructed by exploiting daily equity market information, and we show that our model outperforms the existing model using macroeconomic information. We evaluate it by the performance measures, the goodness-of-fit and the Wilcoxon rank-sum test.

机译：在本文中，我们提出了针对新兴市场货币的风险预测模型。我们的模型基于马尔可夫政权转换，后者是通过利用每日股票市场信息而构建的，我们证明了使用宏观经济信息，我们的模型优于现有模型。我们通过性能指标，拟合优度和Wilcoxon秩和检验进行评估。

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来源
《Asia-Pacific Financial Markets》 |2007年第4期|325-340|共16页
作者
Masahiro Fukuhara; Yasufumi Saruwatari;
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作者单位

Barclays Global Investors 1-1-39 Hiroo Shibuya-ku Tokyo 150-8402 Japan;

Graduate School of Business Sciences The University of Tsukuba Tokyo 3-29-1 Otsuka Bunkyo-ku Tokyo 112-0012 Japan;

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原文格式 PDF
正文语种 eng
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关键词
Risk forecast model; Markov regime switch; Emerging market currency; Equity market information;

机译：风险预测模型;马尔可夫政权转换;新兴市场货币;股票市场信息;

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A Model Forecasting Risk for Emerging Market Currencies

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