Markov Switching Based Nonlinear Tests for Market Efficiency Using the R$/US$ Exchange Rate
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- Emekter, Riza & Jirasakuldech, Benjamas & Snaith, Sean M., 2009. "Nonlinear dynamics in foreign exchange excess returns: Tests of asymmetry," Journal of Multinational Financial Management, Elsevier, vol. 19(3), pages 179-192, July.
- Sergio Da Silva & Annibal Figueiredo & Iram Gleria & Raul Matsushita, 2007. "Hurst exponents, power laws, and efficiency in the Brazilian foreign exchange market," Economics Bulletin, AccessEcon, vol. 7(1), pages 1-11.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-03-03 (All new papers)
- NEP-ETS-2003-03-03 (Econometric Time Series)
- NEP-FIN-2003-03-03 (Finance)
- NEP-IFN-2003-03-03 (International Finance)
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