Do Moving Average Trading Rule Results Imply Nonlinearities in Foreign Exchange?
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- Bertrand Maillet & Thierry Michel, 2000.
"Further insights on the puzzle of technical analysis profitability,"
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- Bertrand Maillet & Thierry Michel, 2000. "Further Insights on the Puzzle of Technical Analysis Profitability," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00308986, HAL.
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"Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise,"
Economic Journal, Royal Economic Society, vol. 108(451), pages 1686-1706, November.
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- repec:osu:osuewp:014 is not listed on IDEAS
- Hans Dewachter & Marco Lyrio, 2005.
"The economic value of technical trading rules: a nonparametric utility-based approach,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(1), pages 41-62.
- Hans Dewachter & Marco Lyrio, 2002. "The Economic Value of Technical Trading Rules: A Non-parametric Utility-based Approach," International Economics Working Papers Series ces0203, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
- Gencay, Ramazan, 1999. "Linear, non-linear and essential foreign exchange rate prediction with simple technical trading rules," Journal of International Economics, Elsevier, vol. 47(1), pages 91-107, February.
- Dueker, Michael & Neely, Christopher J., 2007.
"Can Markov switching models predict excess foreign exchange returns?,"
Journal of Banking & Finance, Elsevier, vol. 31(2), pages 279-296, February.
- Michael J. Dueker & Christopher J. Neely, 2006. "Can Markov switching models predict excess foreign exchange returns?," Working Papers 2001-021, Federal Reserve Bank of St. Louis.
- P. Lequeux & E. Acar, 1998. "A dynamic index for managed currencies funds using CME currency contracts," The European Journal of Finance, Taylor & Francis Journals, vol. 4(4), pages 311-330.
- Dewachter, Hans & Lyrio, Marco, 2006.
"The cost of technical trading rules in the Forex market: A utility-based evaluation,"
Journal of International Money and Finance, Elsevier, vol. 25(7), pages 1072-1089, November.
- Dewachter, H.D.R. & Lyrio, M., 2003. "The Cost of Technical Trading Rules in the Forex Market: A Utility-based Evaluation," ERIM Report Series Research in Management ERS-2003-052-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.
- M. M. Dacorogna & U. A. Muller & C. Jost & O. V. Pictet & J. R. Ward, 1995. "Heterogeneous real-time trading strategies in the foreign exchange market," The European Journal of Finance, Taylor & Francis Journals, vol. 1(4), pages 383-403.
- Skouras, Spyros, 2001.
"Financial returns and efficiency as seen by an artificial technical analyst,"
Journal of Economic Dynamics and Control, Elsevier, vol. 25(1-2), pages 213-244, January.
- Spyros Skouras, 1998. "Financial Returns and Efficiency as seen by an Artificial Technical Analyst," Finance 9808001, University Library of Munich, Germany, revised 24 Aug 1998.
- Sam Nasypbek & Scheherazade S Rehman, 2011. "Explaining the returns of active currency managers," BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 211-256, Bank for International Settlements.
- Gencay, Ramazan & Dacorogna, Michel & Olsen, Richard & Pictet, Olivier, 2003. "Foreign exchange trading models and market behavior," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 909-935, April.
- Emmanuel Acar & Stephen Satchell, 1997. "A theoretical analysis of trading rules: an application to the moving average case with Markovian returns," Applied Mathematical Finance, Taylor & Francis Journals, vol. 4(3), pages 165-180.
- Dewachter, Hans, 2001. "Can Markov switching models replicate chartist profits in the foreign exchange market?," Journal of International Money and Finance, Elsevier, vol. 20(1), pages 25-41, February.
- Balvers, Ronald & Wu, Yangru, 2010.
"Optimal transaction filters under transitory trading opportunities: Theory and empirical illustration,"
Journal of Financial Markets, Elsevier, vol. 13(1), pages 129-156, February.
- Ronald J. Balvers & Yangru Wu, 2005. "Optimal Transaction Filters Under Transitory Trading Opportunities: Theory and Empirical Illustration," Working Papers 022005, Hong Kong Institute for Monetary Research.
- Nelson C. Mark & Yangru Wu, 1997. "Risk, Policy Rules, and Noise: Rethinking Deviations from Uncovered Interest Parity," Tinbergen Institute Discussion Papers 97-041/2, Tinbergen Institute.
- Alessandro Beber, 1999. "Il dibattito su dignità ed efficacia dell'analisi tecnica nell'economia finanziaria," Alea Tech Reports 003, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
- Tabak, Benjamin M. & Lima, Eduardo J.A., 2009. "Market efficiency of Brazilian exchange rate: Evidence from variance ratio statistics and technical trading rules," European Journal of Operational Research, Elsevier, vol. 194(3), pages 814-820, May.
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