References listed on IDEAS
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1. Clarida, Richard & Sarno, Lucio & Taylor, Mark P & Valente, Giorgio, 2002. "The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond," CEPR Discussion Papers 3281, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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   • Richard Clarida & Lucio Sarno & Mark Taylor & Giorgio Valente, 2001. "The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond," NBER Working Papers 8601, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   • Clarida, Richard H. & Sarno, Lucio & Taylor, Mark P. & Valente, Giorgio, 2003. "The out-of-sample success of term structure models as exchange rate predictors: a step beyond," Journal of International Economics, Elsevier, vol. 60(1), pages 61-83, May. [Downloadable!] (restricted)
2. Coakley, Jerry & Fuertes, Ana-Maria & Perez, Maria-Teresa, 2003. "Numerical issues in threshold autoregressive modeling of time series," Journal of Economic Dynamics and Control, Elsevier, vol. 27(11-12), pages 2219-2242, September. [Downloadable!] (restricted)
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   • Maria-Teresa Perez & Ana-Maria Fuertes & Jerry Coakley, 2001. "Numerical Issues in Threshold Autoregressive Modelling of Time Series," Working Papers wp01-09, Warwick Business School, Financial Econometrics Research Centre. [Downloadable!]
3. Jushan Bai & Pierre Perron, 2003. "Critical values for multiple structural change tests," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 72-78, 06. [Downloadable!] (restricted)
4. Levin, Jay H, 1997. "Chartists, Fundamentalists and Exchange Rate Dynamics," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 2(4), pages 281-90, October. [Downloadable!] (restricted)
5. Taylor, Mark P. & Allen, Helen, 1992. "The use of technical analysis in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 11(3), pages 304-314, June. [Downloadable!] (restricted)
6. Lutz Kilian & Mark P. Taylor, 2001. "Why is it so difficult to beat the Random Walk Forecast of Exchange Rates?," Tinbergen Institute Discussion Papers 01-031/4, Tinbergen Institute. [Downloadable!]
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   • Kilian, Lutz & Taylor, Mark P, 2001. "Why is it so Difficult to Beat the Random Walk Forecast of Exchange Rates?," CEPR Discussion Papers 3024, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
   • Lutz Kilian & Mark P. Taylor, 2001. "Why Is It So Difficult to Beat the Random Walk Forecast of Exchange Rates?," Working Papers 464, Research Seminar in International Economics, University of Michigan. [Downloadable!]
   • Lutz Kilian & Mark P. Taylor, 2001. "Why is it so difficult to beat the random walk forecast of exchange rates," Working Paper Series 088, European Central Bank. [Downloadable!]
   • Kilian, Lutz & Taylor, Mark P., 2003. "Why is it so difficult to beat the random walk forecast of exchange rates?," Journal of International Economics, Elsevier, vol. 60(1), pages 85-107, May. [Downloadable!] (restricted)
7. Coakley, Jerry & Fuertes, Ana-Maria, 2001. "A Non-linear Analysis of Excess Foreign Exchange Returns," Manchester School, University of Manchester, vol. 69(6), pages 623-42, December. [Downloadable!] (restricted)
8. Jushan Bai & Pierre Perron, 2003. "Computation and analysis of multiple structural change models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-22. [Downloadable!]
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   • BAI, Jushan & PERRON, Pierre, 1998. "Computation and Analysis of Multiple Structural-Change Models," Cahiers de recherche 9807, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
9. Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
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   • Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
   • Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
10. Lucio Sarno & Mark P. Taylor, 2002. "Purchasing Power Parity and the Real Exchange Rate," IMF Staff Papers, Palgrave Macmillan Journals, vol. 49(1), pages 5. [Downloadable!] (restricted)
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    • Sarno, Lucio & Taylor, Mark P, 2001. "Purchasing Power Parity and the Real Exchange Rate," CEPR Discussion Papers 2913, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
11. Maheu, John M & McCurdy, Thomas H, 2000. "Identifying Bull and Bear Markets in Stock Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 100-112, January.
12. Durland, J Michael & McCurdy, Thomas H, 1994. "Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 279-88, July.
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    • J. Michael Durland & Thomas H. McCurdy, 1993. "Duration Dependent Transitions in a Markov Model of U.S. GNP Growth," Working Papers 887, Queen's University, Department of Economics.
13. Peel, David A & Speight, Alan E H, 1997. "Non-linearities in East European Black-Market Exchange Rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 2(1), pages 39-57, January. [Downloadable!] (restricted)
14. Shleifer, Andrei & Vishny, Robert W, 1997. " The Limits of Arbitrage," Journal of Finance, American Finance Association, vol. 52(1), pages 35-55, March. [Downloadable!] (restricted)
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    • Andrei Shleifer ad Robert W. Vishny, 1995. "The Limits of Arbitrage," Harvard Institute of Economic Research Working Papers 1725, Harvard - Institute of Economic Research.
    • Andrei Shleifer & Robert W. Vishny, 1995. "The Limits of Arbitrage," NBER Working Papers 5167, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
15. Francis X. Diebold & Joon-Haeng Lee & Gretchen C. Weinbach, 1993. "Regime switching with time-varying transition probabilities," Working Papers 93-12, Federal Reserve Bank of Philadelphia.
16. Mark P. Taylor, 1995. "The Economics of Exchange Rates," Journal of Economic Literature, American Economic Association, vol. 33(1), pages 13-47, March. [Downloadable!] (restricted)
17. Mark P. Taylor, 2003. "Purchasing Power Parity," Review of International Economics, Blackwell Publishing, vol. 11(3), pages 436-452, 08. [Downloadable!] (restricted)
18. McQueen, Grant & Thorley, Steven, 1994. "Bubbles, Stock Returns, and Duration Dependence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(03), pages 379-401, September. [Downloadable!]
19. Allen, Helen & Taylor, Mark P, 1990. "Charts, Noise and Fundamentals in the London Foreign Exchange Market," Economic Journal, Royal Economic Society, vol. 100(400), pages 49-59, Supplemen. [Downloadable!] (restricted)
20. Peel, D A & Speight, A E H, 1998. "Modelling Business Cycle Nonlinearity in Conditional Mean and Conditional Variance: Some International and Sectoral Evidence," Economica, London School of Economics and Political Science, vol. 65(258), pages 211-29, May. [Downloadable!] (restricted)
21. Cochran, Steven J & Defina, Robert H, 1995. "Duration Dependence in the US Stock Market Cycle: A Parametric Approach," Applied Financial Economics, Taylor and Francis Journals, vol. 5(5), pages 309-18, October. [Downloadable!] (restricted)
22. Peel, David & Sarno, Lucio & Taylor, Mark P, 2001. "Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles," CEPR Discussion Papers 2658, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
    • Taylor, Mark P & Peel, David A & Sarno, Lucio, 2001. "Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(4), pages 1015-42, November.
23. Taylor, Mark P, 1997. "Special Issue on Technical Analysis and Financial Markets: Editor's Introduction," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 2(4), pages 263-66, October. [Downloadable!] (restricted)
24. Vigfusson, Robert, 1997. "Switching between Chartists and Fundamentalists: A Markov Regime-Switching Approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 2(4), pages 291-305, October. [Downloadable!] (restricted)
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    • Robert Vigfusson, 1996. "Switching Between Chartists and Fundamentalists: A Markov Regime-Switching Approach," International Finance 9602003, EconWPA. [Downloadable!]