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Forecasting exchange rates: The multi-state Markov-switching model with smoothing
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References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1997Postwar U.S. Business Cycles: An Empirical Investigation7,358 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1999Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series2,829 cited
  • 1997Testing the equality of prediction mean squared errors2,103 cited
  • 2002On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations1,986 cited
  • 1999The Band Pass Filter1,909 cited
  • 1994Autoregressive conditional heteroskedasticity and changes in regime1,835 cited
  • 1996Modeling the conditional distribution of interest rates as a regime-switching process1,492 cited
  • 1995Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag1,459 cited
  • 2003The Economics of Exchange Rates1,327 cited
  • 2000Nonlinear Time Series Models in Empirical Finance1,111 cited
  • 1990Long Swings in the Dollar: Are They in the Data and Do Markets Know It?984 cited
  • 1994Business-Cycle Phases and Their Transitional Dynamics

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883 cited
  • 2002Regime Switches in Interest Rates854 cited
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