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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- Charles Engel, 1994. "Can the Markov Switching Model Forecast Exchange Rates?," NBER Working Papers 4210, National Bureau of Economic Research, Inc.
- Sweeney, Richard J, 1986. " Beating the Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 41(1), pages 163-82, March.
- 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.
- Gencay, Ramazan, 1999. "Linear, non-linear and essential foreign exchange rate prediction with simple technical trading rules," Journal of International Economics, Elsevier, vol. 47(1), pages 91-107, February.
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