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Citations for "Exchange Rates and Markov Switching Dynamics"

by Yin-wong Cheung & Ulf G. Erlandsson

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  1. Chen, Yu-Fu & Funke, Michael & Glanemann, Nicole, 2009. "A Soft Edge Target Zone Model: Theory And Application To Hong Kong," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) 2009-61, Scottish Institute for Research in Economics (SIRE).
  2. Karakatsani, Nektaria V. & Bunn, Derek W., 2008. "Forecasting electricity prices: The impact of fundamentals and time-varying coefficients," International Journal of Forecasting, Elsevier, Elsevier, vol. 24(4), pages 764-785.
  3. Wu, Jyh-Lin & Hu, Yu-Hau, 2009. "New evidence on nominal exchange rate predictability," Journal of International Money and Finance, Elsevier, Elsevier, vol. 28(6), pages 1045-1063, October.
  4. repec:hal:journl:halshs-00368358 is not listed on IDEAS
  5. Angela He & Alan Wan, 2009. "Predicting daily highs and lows of exchange rates: a cointegration analysis," Journal of Applied Statistics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 36(11), pages 1191-1204.
  6. Chunming Yuan, 2008. "The Exchange Rate and Macroeconomic Determinants: Time-Varying Transitional Dynamics," UMBC Economics Department Working Papers 09-114, UMBC Department of Economics, revised 01 Nov 2009.
  7. Kuang-Liang Chang & Nan-Kuang Chen & Charles Leung, 2011. "Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 43(1), pages 221-257, July.
  8. Barbara Rossi, 2013. "Exchange Rate Predictability," Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1063-1119, December.
  9. Stéphane Goutte & Benteng Zou, 2012. "Continuous time regime switching model applied to foreign exchange rate," Working Papers hal-00643900, HAL.
  10. Cheung, Yin-Wong & Chinn, Menzie David & Garcia Pascual, Antonio, 2003. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," Santa Cruz Department of Economics, Working Paper Series qt12z9x4c5, Department of Economics, UC Santa Cruz.
  11. Robinson Kruse & Michael Frömmel & Lukas Menkhoff & Philipp Sibbertsen, 2009. "What do we know about real exchange rate non-linearities?," CREATES Research Papers 2009-50, School of Economics and Management, University of Aarhus.
  12. Liu, Xiaochun, 2013. "Markov-Switching Quantile Autoregression," MPRA Paper 55800, University Library of Munich, Germany.
  13. Yuan, Chunming, 2011. "Forecasting exchange rates: The multi-state Markov-switching model with smoothing," International Review of Economics & Finance, Elsevier, Elsevier, vol. 20(2), pages 342-362, April.
  14. Chew Lian Chua & Sandy Suardi, 2005. "Is There a Unit Root in East-Asian Short-Term Interest Rates?," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne wp2005n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  15. Carol Alexander & Andreas Kaeck, 2006. "Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices," ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University icma-dp2006-08, Henley Business School, Reading University.
  16. Yu-Fu Chen & Michael Funke & Nicole Glanemann, 2009. "A Soft Edge Target Zone Model: Theory And Application To Hong Kong," Dundee Discussion Papers in Economics, Economic Studies, University of Dundee 228, Economic Studies, University of Dundee.
  17. Eric Girardin, 2011. "A De Facto Asian-Currency Unit Bloc in East Asia : It Has Been There but We Did Not Look for It," Macroeconomics Working Papers 23275, East Asian Bureau of Economic Research.
  18. Fady Barsoum & Sandra Stankiewicz, 2013. "Forecasting GDP Growth Using Mixed-Frequency Models With Switching Regimes," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz 2013-10, Department of Economics, University of Konstanz.
  19. Katarina Juselius, 2013. "Testing for Near I (2) Trends When the Signal to Noise Ratio is Small," Discussion Papers 14-01, University of Copenhagen. Department of Economics.
  20. Huisman, R. & Mahieu, R.J., 2007. "Revisiting Uncovered Interest Rate Parity: Switching Between UIP and the Random Walk," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasm ERS-2007-001-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  21. Yilmazkuday, Hakan & Akay, Koray, 2008. "An analysis of regime shifts in the Turkish economy," Economic Modelling, Elsevier, Elsevier, vol. 25(5), pages 885-898, September.
  22. Lanouar Charfeddine & Dominique Guegan, 2008. "Is it possible to discriminate between different switching regressions models? An empirical investigation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00368358, HAL.
  23. Yuan, Chunming, 2011. "The exchange rate and macroeconomic determinants: Time-varying transitional dynamics," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 22(2), pages 197-220, August.
  24. Hamid Baghestani, 2009. "Evaluating random walk forecasts of exchange rates," Studies in Economics and Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 26(3), pages 171-181, August.
  25. Alexander, Carol & Kaeck, Andreas, 2008. "Regime dependent determinants of credit default swap spreads," Journal of Banking & Finance, Elsevier, Elsevier, vol. 32(6), pages 1008-1021, June.
  26. Erlandsson, Ulf, 2005. "Transition Variables in the Markov-switching Model: Some Small Sample Properties," Working Papers, Lund University, Department of Economics 2005:25, Lund University, Department of Economics.
  27. Stéphane GOUTTE & Benteng Zou, 2011. "Foreign exchange rates under Markov Regime switching model," CREA Discussion Paper Series 11-16, Center for Research in Economic Analysis, University of Luxembourg.
  28. Karakatsani, Nektaria V. & Bunn, Derek W., 2008. "Intra-day and regime-switching dynamics in electricity price formation," Energy Economics, Elsevier, Elsevier, vol. 30(4), pages 1776-1797, July.
  29. Erlandsson, Ulf, 2004. "Reconnecting the Markov Switching Model with Economic Fundamentals," Working Papers, Lund University, Department of Economics 2004:4, Lund University, Department of Economics, revised 18 Mar 2004.