Cheung, Yan-Leung; Cheung, Yin-Wong; Wan, Alan T. K. - Hong Kong Institute for Monetary Research (HKIMR), … - 2009
concept and the related vector error correction model (VECM) to model the daily high, the daily low, and the associated daily … criteria, it is found that the VECM-based low and high forecasts offer some advantages over some alternative forecasts. The … VECM-based range forecasts, on the other hand, do not always dominate - the forecast rankings depend on the choice of …