Identifying Multiple Structural Breaks in Exchange Rate Series in a Finance Research.
This paper describes how to resolve a recurrent research problem in finance research, that is, how to identify and then take steps to correct structural breakpoints in time series data sets. A review of finance literature suggests that the familiar method of identifying breaks is by using news repor...
| Publicado en: | Pertanika Journal of Social Sciences & Humanities Vol. 23; pp. 155 - 166 |
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| Autores principales: | , , , |
| Formato: | Artículo |
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Universiti Putra Malaysia
Sep2015 Special Issue
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| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=hlh&AN=113387470&site=ehost-live header: @attributes: shortDbName: hlh uiTerm: 113387470 longDbName: Humanities International Complete uiTag: AN controlInfo: bkinfo: jinfo: jid: 01287702 TKQ jtl: Pertanika Journal of Social Sciences & Humanities issn: 01287702 maglogo: N pubinfo: dt: Sep2015 Special Issue vid: 23 pid: 20751 pub: Universiti Putra Malaysia artinfo: ui: 113387470 ppf: 155 ppct: 11 formats: fmt: @attributes: type: P size: 4.6MB tig: atl: Identifying Multiple Structural Breaks in Exchange Rate Series in a Finance Research. aug: au: Zarei, Alireza Ariff, Mohamed Law Siong Hook Md Nassir, Annuar affil: Depai tment of Financial Mathematics and Statistics, Sunway University, Malaysia Faculty of Economics and Management, University Putra Malaysia, 43400 UPM Serdang, Selangor, Malaysia su: Financial research Foreign exchange rates Time series analysis Finance literature Sampling errors sug: subj: Financial research Foreign exchange rates Time series analysis Finance literature Sampling errors keyword: Bai-Perron Model Exchange rates Multiple Structural breaks ab: This paper describes how to resolve a recurrent research problem in finance research, that is, how to identify and then take steps to correct structural breakpoints in time series data sets. A review of finance literature suggests that the familiar method of identifying breaks is by using news reports of events, which is not accurate in a formal sense, and will likely introduce estimation errors in research. There exist formal models, which are used to accurately identify breaks especially in long-time series to pre-test exchange rate data series as a pre-analysis step to accurately locate breaks that will help control estimation errors introduced from breakpoint impacts. The findings from testing four-country data series, using 651 months data of each country, suggested that the method described in this study identified breakpoints accurately, which was also verified using graphs. Therefore, it is suggested that this process is helpful for researchers to formally identify structural breakpoints as it greatly improves the robustness of estimation of exchange rate behaviour (apart from other financial variables). pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: Y custom: Copyright of Pertanika Journal of Social Sciences & Humanities is the property of Universiti Putra Malaysia and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. item: Pertanika Journal of Social Sciences & Humanities holder: Universiti Putra Malaysia dt: @attributes: year: 2015 holdings: @attributes: islocal: N |
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