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Econometric Approach to Difference Equations Modeling of Exchange Rates Changes (CROSBI ID 179180)

Prilog u časopisu | izvorni znanstveni rad | međunarodna recenzija

Arnerić, Josip ; Kordić, Lana Econometric Approach to Difference Equations Modeling of Exchange Rates Changes // Croatian operational research review, 1 (2010), 1; 234-243

Podaci o odgovornosti

Arnerić, Josip ; Kordić, Lana

engleski

Econometric Approach to Difference Equations Modeling of Exchange Rates Changes

Time series models that are commonly used in econometric modeling are autoregressive stochastic linear models (AR) and models of moving averages (MA). Mentioned models by their structure are actually stochastic difference equations. Therefore, the objective of this paper is to estimate difference equations containing stochastic (random) component. Estimated models of time series will be used to forecast observed data in the future. Namely, solutions of difference equations are closely related to conditions of stationary time series models. Based on the fact that volatility is time varying in high frequency data and that periods of high volatility tend to cluster, the most successful and popular models in modeling time varying volatility are GARCH type models and their variants. However, GARCH models will not be analyzed because the purpose of this research is to predict the value of the exchange rate in the levels within conditional mean equation and to determine whether the observed variable has a stable or explosive time path. Based on the estimated difference equation it will be examined whether Croatia is implementing a stable policy of exchange rates.

difference equations ; time series ; econometric estimation ;

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Podaci o izdanju

1 (1)

2010.

234-243

objavljeno

1848-0225

1848-9931

Povezanost rada

Ekonomija

Poveznice
Indeksiranost