Forecasting exchange rates out of sample: random walk vs Markov switching regimes
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- repec:eee:phsmap:v:493:y:2018:i:c:p:239-252 is not listed on IDEAS
- Chien-Hsiu Lin & Shih-Kuei Lin & An-Chi Wu, 2015. "Foreign exchange option pricing in the currency cycle with jump risks," Review of Quantitative Finance and Accounting, Springer, vol. 44(4), pages 755-789, May.
- Raphaël Homayoun Boroumand & Stéphane Goutte & Thomas Porcher, 2014.
"A regime-switching model to evaluate bonds in a quadratic term structure of interest rates,"
Applied Financial Economics,
Taylor & Francis Journals, vol. 24(21), pages 1361-1366, November.
- Stéphane Goutte & Raphaël Homayoun & Thomas Porcher, 2014. "A regime switching model to evaluate bonds in a quadratic term structure of interest rates," Working Papers hal-01090846, HAL.
- Michał Rubaszek & Paweł Skrzypczyński & Grzegorz Koloch, 2010.
"Forecasting the Polish Zloty with Non-Linear Models,"
Central European Journal of Economic Modelling and Econometrics,
CEJEME, vol. 2(2), pages 151-167, March.
- Michal Rubaszek & Pawel Skrzypczynski & Grzegorz Koloch, 2011. "Forecasting the Polish zloty with non-linear models," NBP Working Papers 81, Narodowy Bank Polski, Economic Research Department.
- Burns, Kelly & Moosa, Imad A., 2015. "Enhancing the forecasting power of exchange rate models by introducing nonlinearity: Does it work?," Economic Modelling, Elsevier, vol. 50(C), pages 27-39.
- Lee, Hsiu-Yun & Chen, Show-Lin, 2006. "Why use Markov-switching models in exchange rate prediction?," Economic Modelling, Elsevier, vol. 23(4), pages 662-668, July.
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