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Paper Information

Journal:   TAHGHIGHAT-E-EGHTESADI   FALL 2012 , Volume 47 , Number 3; Page(s) 129 To 144.
 
Paper: 

MODELING AND PREDICTION IRANIAN EXCHANGE RATE BASED ON STOCHASTIC DIFFERENTIAL EQUATIONS

 
 
Author(s):  KHODAVAISI HASSAN*, MOLABAHRAMI AHMAD
 
* URMIA UNIVERSITY
 
Abstract: 

Exchange rate prediction, as one of the main variables in macroeconomics, has been one of the aims of the economic research for a long time. For modeling and predicting exchange rate we apply stochastic differential equation, specifically we use Geometric Brownian Motion (GBM) and Jump-Diffusion process (MJDP) attributed to Merton. We show that the result of simulation based on GBM and MJDP outperforms linear time series models, such as ARIMA, for both in sample and out of sample predictions based on RMSE criterion.

 
Keyword(s): EXCHANGE RATE PREDICTION, STOCHASTIC DIFFERENTIAL EQUATION, GEOMETRIC BROWNIAN MOTION, JUMP-DIFFUSION PROCESS
 
 
References: 
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Citations: 
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+ Click to Cite.
APA: Copy

KHODAVAISI, H., & MOLABAHRAMI, A. (2012). MODELING AND PREDICTION IRANIAN EXCHANGE RATE BASED ON STOCHASTIC DIFFERENTIAL EQUATIONS. TAHGHIGHAT-E-EGHTESADI, 47(3), 129-144. https://www.sid.ir/en/journal/ViewPaper.aspx?id=277108



Vancouver: Copy

KHODAVAISI HASSAN, MOLABAHRAMI AHMAD. MODELING AND PREDICTION IRANIAN EXCHANGE RATE BASED ON STOCHASTIC DIFFERENTIAL EQUATIONS. TAHGHIGHAT-E-EGHTESADI. 2012 [cited 2021July28];47(3):129-144. Available from: https://www.sid.ir/en/journal/ViewPaper.aspx?id=277108



IEEE: Copy

KHODAVAISI, H., MOLABAHRAMI, A., 2012. MODELING AND PREDICTION IRANIAN EXCHANGE RATE BASED ON STOCHASTIC DIFFERENTIAL EQUATIONS. TAHGHIGHAT-E-EGHTESADI, [online] 47(3), pp.129-144. Available: https://www.sid.ir/en/journal/ViewPaper.aspx?id=277108.



 
 
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