Can Markov switching models replicate chartist profits in the foreign exchange market?
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of International Money and Finance.
Volume (Year): 20 (2001)
Issue (Month): 1 (February)
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Web page: http://www.elsevier.com/locate/inca/30443
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- Bruce E. Hansen, 1995. "Erratum: The Likelihood ratio Test Under Nonstandard Conditions: Testing the Markov Switching Model of GNP," Boston College Working Papers in Economics 296., Boston College Department of Economics.
- Fangxiong Gong & Roberto S. Mariano, 1997. "Testing under non-standard conditions in frequency domain: with applications to Markov regime-switching models of exchange rates and federal funds rate," Staff Reports 23, Federal Reserve Bank of New York.
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