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Why use Markov-switching models in exchange rate prediction?

  • Lee, Hsiu-Yun
  • Chen, Show-Lin
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    File URL: http://www.sciencedirect.com/science/article/B6VB1-4JW15KN-2/2/4c344aea7a5ff386a46333a8a9cf188d
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    Article provided by Elsevier in its journal Economic Modelling.

    Volume (Year): 23 (2006)
    Issue (Month): 4 (July)
    Pages: 662-668

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    Handle: RePEc:eee:ecmode:v:23:y:2006:i:4:p:662-668
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30411

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    1. Ya-Hwei Yang & Jia-Dong Shea, 2005. "Deflation and Monetary Policy in Taiwan," NBER Working Papers 11244, National Bureau of Economic Research, Inc.
    2. Charles Engel, 1992. "Can the Markov Switching Model Forecast Exchange Rates?," NBER Working Papers 4210, National Bureau of Economic Research, Inc.
    3. Kim, Chang-Jin, 1994. "Dynamic linear models with Markov-switching," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 1-22.
    4. Guillermo A. Calvo & Carmen M. Reinhart, 2000. "Fear of Floating," NBER Working Papers 7993, National Bureau of Economic Research, Inc.
    5. Kirikos, Dimitris G, 2002. "Discrete Policy Interventions and Rational Forecast Errors in Foreign Exchange Markets: The Uncovered Interest Parity Hypothesis Revisited," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 7(4), pages 327-38, October.
    6. Engel, Charles & Hamilton, James D, 1990. "Long Swings in the Dollar: Are They in the Data and Do Markets Know It?," American Economic Review, American Economic Association, vol. 80(4), pages 689-713, September.
    7. Dimitris Kirikos, 2000. "Forecasting exchange rates out of sample: random walk vs Markov switching regimes," Applied Economics Letters, Taylor & Francis Journals, vol. 7(2), pages 133-136.
    8. Evans, George W, 1991. "Pitfalls in Testing for Explosive Bubbles in Asset Prices," American Economic Review, American Economic Association, vol. 81(4), pages 922-30, September.
    9. Kirikos, Dimitris G., 2004. "A Reconsideration of Uncovered Interest Rate Parity under Switching Policy Regimes," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 57(2), pages 125-144.
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