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Can Markov switching models replicate chartist profits in the foreign exchange market?
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- Cheung, Yin-Wong & Erlandsson, Ulf G., 2005.
"Exchange Rates and Markov Switching Dynamics,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 314-320, July.
- Yin-Wong Cheung & Ulf G. Erlandsson, 2004. "Exchange Rates and Markov Switching Dynamics," CESifo Working Paper Series 1348, CESifo.
- Yin-wong Cheung & Ulf G. Erlandsson, 2005. "Exchange Rates and Markov Switching Dynamics," Working Papers 052005, Hong Kong Institute for Monetary Research.
- Al-Zoubi, Haitham A., 2008. "The long swings in the spot exchange rates and the complex unit roots hypothesis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(3), pages 236-244, July.
- Zied Ftiti & Slim Chaouachi, 2018. "What Can We Learn About the Real Exchange Rate Behavior in the Case of a Peripheral Country?," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(3), pages 681-707, September.
- Schulmeister, Stephan, 2006.
"The interaction between technical currency trading and exchange rate fluctuations,"
Finance Research Letters, Elsevier, vol. 3(3), pages 212-233, September.
- Stephan Schulmeister, 2005. "The Interaction between Technical Currency Trading and Exchange Rate Fluctuations," WIFO Working Papers 264, WIFO.
- Stephan Schulmeister, 2005. "The Interaction between Technical Currency Trading and Exchange Rate Fluctuations," Finance 0512033, University Library of Munich, Germany.
- Reitz, Stefan, 2006. "On the predictive content of technical analysis," The North American Journal of Economics and Finance, Elsevier, vol. 17(2), pages 121-137, August.
- Lee, Hsiu-Yun, 2011. "Nonlinear exchange rate dynamics under stochastic official intervention," Economic Modelling, Elsevier, vol. 28(4), pages 1510-1518, July.
- repec:onb:oenbwp:y:2010:i:2:b:1 is not listed on IDEAS
- Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
- Adrián Fernández-P�rez & Fernando Fernández-Rodr�guez & Simón Sosvilla-Rivero, 2012. "Detecting trends in the foreign exchange markets," Applied Economics Letters, Taylor & Francis Journals, vol. 19(5), pages 493-503, March.
- Reitz, Stefan, 2002. "Central Bank Intervention and Exchange Rate Expectations: Evidence from the Daily DM/US-Dollar Exchange Rate," Discussion Paper Series 1: Economic Studies 2002,17, Deutsche Bundesbank.
- Ender Su & John Bilson, 2011. "Trading asymmetric trend and volatility by leverage trend GARCH in Taiwan stock index," Applied Economics, Taylor & Francis Journals, vol. 43(26), pages 3891-3905.
- Lin, Shih-Kuei & Lin, Chien-Hsiu & Chuang, Ming-Che & Chou, Chia-Yu, 2014. "A recursive formula for a participating contract embedding a surrender option under regime-switching model with jump risks: Evidence from stock indices," Economic Modelling, Elsevier, vol. 38(C), pages 341-350.
- Wai‐Sum Chan & Li‐Xin Zhang & Siu Hung Cheung, 2009. "Temporal aggregation of Markov‐switching financial return models," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 25(3), pages 359-383, May.
- Marianne Frisén, 2003. "Statistical Surveillance. Optimality and Methods," International Statistical Review, International Statistical Institute, vol. 71(2), pages 403-434, August.
- Uctum, Remzi, 2007.
"Économétrie des modèles à changement de régimes : un essai de synthèse,"
L'Actualité Economique, Société Canadienne de Science Economique, vol. 83(4), pages 447-482, décembre.
- Remzi Uctum, 2007. "Econométrie des modèles à changements de régimes: un essai de synthèse," Post-Print halshs-00174034, HAL.
- Markus Eller & Michael Frömmel & Nora Srzentic, 2010. "Private Sector Credit in CESEE: Long-Run Relationships and Short-Run Dynamics," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 50-78.
- Lee, Hsiu-Yun & Chang, Wen-Ya, 2007. "Central bank intervention and exchange rate dynamics: A rationale for the regime-switching process of exchange rates," Journal of the Japanese and International Economies, Elsevier, vol. 21(1), pages 64-77, March.
- repec:ipg:wpaper:2014-063 is not listed on IDEAS
- Alexandra Krystalogianni & Sotiris Tsolacos, 2005. "Regime switching in yield structures and real estate investment," Journal of Property Research, Taylor & Francis Journals, vol. 21(4), pages 279-299, May.
- 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.
- Michael Frömmel, 2010.
"Volatility Regimes in Central and Eastern European Countries’ Exchange Rates,"
Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 60(1), pages 2-21, February.
- Frömmel, Michael, 2006. "Volatility Regimes in Central and Eastern European Countries' Exchange Rates," Hannover Economic Papers (HEP) dp-333, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- M. Frömmel, 2007. "Volatility Regimes in Central and Eastern European Countries’ Exchange Rates," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 07/487, Ghent University, Faculty of Economics and Business Administration.
- George S. Parikakis & Anna Merika, 2009. "Evaluating volatility dynamics and the forecasting ability of Markov switching models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(8), pages 736-744.
- Lukas Menkhoff & Mark P. Taylor, 2007.
"The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis,"
Journal of Economic Literature, American Economic Association, vol. 45(4), pages 936-972, December.
- Menkhoff, Lukas & Taylor, Mark P., 2006. "The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis," Hannover Economic Papers (HEP) dp-352, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Menkhoff, Lukas & Taylor, Mark P., 2006. "The Obstinate Passion of Foreign Exchange Professionals : Technical Analysis," The Warwick Economics Research Paper Series (TWERPS) 769, University of Warwick, Department of Economics.
- Menkhoff, Lukas & Taylor, Mark P., 2006. "The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis," Economic Research Papers 269739, University of Warwick - Department of Economics.
- Isakov, Dusan & Marti, Didier, 2011. "Technical Analysis with a Long-Term Perspective: Trading Strategies and Market Timing Ability," FSES Working Papers 421, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland.
- Hess, Martin K., 2003. "What drives Markov regime-switching behavior of stock markets? The Swiss case," International Review of Financial Analysis, Elsevier, vol. 12(5), pages 527-543.
- Slim Chaouachi & Zied Ftiti & Frederic Teulon, 2014. "Explaining the Tunisian Real Exchange: Long Memory versus Structural Breaks," Working Papers 2014-147, Department of Research, Ipag Business School.
- I.Fatnassi & S.Chawechi & Z.Ftiti & A.Ben Maatoug, 2014. "Effects of Monetary Policy on the REIT Returns," Working Papers 2014-63, Department of Research, Ipag Business School.
- Afanasyev, Dmitriy O. & Fedorova, Elena & Ledyaeva, Svetlana, 2021. "Strength of words: Donald Trump's tweets, sanctions and Russia's ruble," Journal of Economic Behavior & Organization, Elsevier, vol. 184(C), pages 253-277.
- 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.
- Kirman, Alan & Ricciotti, Romain Fabio & Topol, Richard Léon, 2007. "Bubbles In Foreign Exchange Markets," Macroeconomic Dynamics, Cambridge University Press, vol. 11(S1), pages 102-123, November.
- Fatnassi, Ibrahim & Slim, Chaouachi & Ftiti, Zied & Ben Maatoug, Abderrazek, 2014. "Effects of monetary policy on the REIT returns: Evidence from the United Kingdom," Research in International Business and Finance, Elsevier, vol. 32(C), pages 15-26.
- Ichiue, Hibiki & Koyama, Kentaro, 2011.
"Regime switches in exchange rate volatility and uncovered interest parity,"
Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1436-1450.
- Hibiki Ichiue & Kentaro Koyama, 2007. "Regime Switches in Exchange Rate Volatility and Uncovered Interest Parity," Bank of Japan Working Paper Series 07-E-22, Bank of Japan.
- Cho, Dooyeon & Han, Heejoon & Lee, Na Kyeong, 2019. "Carry trades and endogenous regime switches in exchange rate volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 58(C), pages 255-268.
- Adrián Fernández-P�rez & Fernando Fernández-Rodr�guez & Simón Sosvilla-Rivero, 2012. "Exploiting trends in the foreign exchange markets," Applied Economics Letters, Taylor & Francis Journals, vol. 19(6), pages 591-597, April.
- Olson, Dennis, 2004. "Have trading rule profits in the currency markets declined over time?," Journal of Banking & Finance, Elsevier, vol. 28(1), pages 85-105, January.
- Suman Das & Saikat Sinha Roy, 2021. "Predicting regime switching in BRICS currency volatility: a Markov switching autoregressive approach," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 48(2), pages 165-180, June.
- Thomas Oberlechner & Carol Osler, 2009. "Overconfidence in Currency Markets," Working Papers 02, Brandeis University, Department of Economics and International Business School.
- Frommel, Michael & MacDonald, Ronald & Menkhoff, Lukas, 2005.
"Do fundamentals matter for the D-Mark/Euro-Dollar? A regime switching approach,"
Global Finance Journal, Elsevier, vol. 15(3), pages 321-335, February.
- Frömmel, Michael & MacDonald, Ronald & Menkhoff, Lukas, 2003. "Do Fundamentals Matter for the D-Mark/Euro-Dollar? A Regime Switching Approach," Hannover Economic Papers (HEP) dp-289, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Yuan, Chunming, 2011.
"Forecasting exchange rates: The multi-state Markov-switching model with smoothing,"
International Review of Economics & Finance, Elsevier, vol. 20(2), pages 342-362, April.
- Chunming Yuan, 2008. "Forecasting Exchange Rates: The Multi-State Markov-Switching Model with Smoothing," UMBC Economics Department Working Papers 09-115, UMBC Department of Economics, revised 01 Nov 2009.
- Nikolsko-Rzhevskyy, Alex & Prodan, Ruxandra, 2012. "Markov switching and exchange rate predictability," International Journal of Forecasting, Elsevier, vol. 28(2), pages 353-365.
- Bock, David & Andersson, Eva & Frisén, Marianne, 2007. "Similarities and differences between statistical surveillance and certain decision rules in finance," Research Reports 2007:8, University of Gothenburg, Statistical Research Unit, School of Business, Economics and Law.
- repec:ipg:wpaper:2014-390 is not listed on IDEAS
- Norman C. Miller, 2014. "Exchange Rate Economics," Books, Edward Elgar Publishing, number 14981, March.
- Stephan Schulmeister, 2009. "Technical Trading and Trends in the Dollar-Euro Exchange Rate," WIFO Studies, WIFO, number 37582, August.
- Richard D. F. Harris & Murat Mazibas, 2022. "A component Markov regime‐switching autoregressive conditional range model," Bulletin of Economic Research, Wiley Blackwell, vol. 74(2), pages 650-683, April.