A Bayesian MS-SUR Model for Forecasting Exchange Rates

DSpace/Manakin Repository

Show simple item record

dc.contributor.advisor Casarin, Roberto it_IT
dc.contributor.author Rotaru, Igor <1988> it_IT
dc.date.accessioned 2014-10-09 it_IT
dc.date.accessioned 2014-12-13T10:14:44Z
dc.date.available 2014-12-13T10:14:44Z
dc.date.issued 2014-10-27 it_IT
dc.identifier.uri http://hdl.handle.net/10579/5207
dc.description.abstract The thesis proposes a new Bayesian factor model in the forecasting exchange rates using an application of Markov chain Monte Carlo to Bayesian inference. First we describe the Zellner's Seemingly Unrelated Regression (SUR) multivariate model with ten macroeconomic fundamentals in order to forecast the six exchange rates over the years 2002-2014. Secondly, we assume a latent Markov switching process is driving the parameters of the SUR model in order to detect structural instabilities. We develop MATLAB code for analysing and forecasting monthly exchange rate series. it_IT
dc.language.iso en it_IT
dc.publisher Università Ca' Foscari Venezia it_IT
dc.rights © Igor Rotaru, 2014 it_IT
dc.title A Bayesian MS-SUR Model for Forecasting Exchange Rates it_IT
dc.title.alternative it_IT
dc.type Master's Degree Thesis it_IT
dc.degree.name Economia - economics it_IT
dc.degree.level Laurea magistrale it_IT
dc.degree.grantor Dipartimento di Economia it_IT
dc.description.academicyear 2013/2014, sessione autunnale it_IT
dc.rights.accessrights openAccess it_IT
dc.thesis.matricno 840658 it_IT
dc.subject.miur SECS-P/05 ECONOMETRIA it_IT
dc.description.note it_IT
dc.degree.discipline it_IT
dc.contributor.co-advisor it_IT
dc.date.embargoend it_IT
dc.provenance.upload Igor Rotaru (840658@stud.unive.it), 2014-10-09 it_IT
dc.provenance.plagiarycheck Roberto Casarin (r.casarin@unive.it), 2014-10-20 it_IT

Files in this item

This item appears in the following Collection(s)

Show simple item record