Regime switching models in the foreign exchange market
Chapter in an edited book (author)


香港中文大学研究人员 ( 现职)

郑环环教授 (经济学系)

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数位物件识别号 (DOI) ○○@http://aims.cuhk.edu.hk/converis/portal/Publication/2$@○○

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摘要This chapter compares three regime-switching models in estimating and forecasting behavioural heterogeneity in the AUD/USD foreign exchange market. The three heterogeneous agent models allow different elements to be regime-dependent following different mechanisms. The first model pioneered by Boswijk et al. (http://aims.cuhk.edu.hk/converis/portal/Publication/2007) models the fraction of each type of agents as a function of its relative past performance. The second model developed by Lof (http://aims.cuhk.edu.hk/converis/portal/Publication/201http://aims.cuhk.edu.hk/converis/portal/Publication/2) allows agents to switch their strategies based on macroeconomic fundamentals. The third model proposed by Chiarella et al. (http://aims.cuhk.edu.hk/converis/portal/Publication/201http://aims.cuhk.edu.hk/converis/portal/Publication/2) sets agents beliefs to be dependent on a Markov-switching process. Our empirical results show that (i) the model by Lof (http://aims.cuhk.edu.hk/converis/portal/Publication/201http://aims.cuhk.edu.hk/converis/portal/Publication/2) provides the best in-sample estimation efficiency and (ii) the model by Boswijk et al. (http://aims.cuhk.edu.hk/converis/portal/Publication/2007) significantly outperforms the model by Lof (http://aims.cuhk.edu.hk/converis/portal/Publication/201http://aims.cuhk.edu.hk/converis/portal/Publication/2) in terms of out-of-sample forecasting accuracy, but not that by Chiarella et al. (http://aims.cuhk.edu.hk/converis/portal/Publication/201http://aims.cuhk.edu.hk/converis/portal/Publication/2) in the medium to long run.

着者Chia W.-M., Li M., Zheng H.
编辑ed. by Roberto Dieci, Cars Hommes, Tony He.
详细描述ed. by Roberto Dieci, Cars Hommes, Tony He.
出版年份http://aims.cuhk.edu.hk/converis/portal/Publication/2014
月份5
日期1
页次http://aims.cuhk.edu.hk/converis/portal/Publication/201 - http://aims.cuhk.edu.hk/converis/portal/Publication/2http://aims.cuhk.edu.hk/converis/portal/Publication/23
国际标準书号978331907470http://aims.cuhk.edu.hk/converis/portal/Publication/2
语言英式英语