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Can the Markov switching model forecast exchange rates?
6 references·16 citing·45 second hop
Can the Markov switching model forecast exchange rates? (1994)Can the Markov switching model forecast e…Banking on currency forecasts: How predictable is change in money? (1995)Banking on currency forecasts…Economic Forecast Evaluation: Profits versus the Conventional Error Measures (1991)Economic Forecast Evaluation:…Nonparametric exchange rate prediction? (1990)Nonparametric exchange rate p…Long Swings in the Dollar: Are They in the Data and Do Markets Know It? (1990)Long Swings in the Dollar: Ar…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…The impact of oil shocks on exchange rates: A Markov-switching approach (2015)The impact of oil shocks on e…Exchange Rates and Fundamentals: Footloose or Evolving Relationship? (2009)Exchange Rates and Fundamenta…The asymmetric effects of oil shocks on output growth: A Markov–Switching analysis for the G-7 countries (2008)The asymmetric effects of oil…A Markov regime switching approach for hedging energy commodities (2008)A Markov regime switching app…ARE EXCHANGE RATES REALLY RANDOM WALKS? SOME EVIDENCE ROBUST TO PARAMETER INSTABILITY (2005)ARE EXCHANGE RATES REALLY RAN…The out-of-sample success of term structure models as exchange rate predictors: a step beyond (2003)The out-of-sample success of …Exchange rate forecasting: the errors we’ve really made (2003)Exchange rate forecasting: th…Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive? (2002)Empirical Exchange Rate Model…Robust out-of-sample inference (2000)Robust out-of-sample inferenceWhy do regime-switching models forecast so badly? 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this work references cited by second hop

References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1990Long Swings in the Dollar: Are They in the Data and Do Markets Know It?984 cited
  • 1990Nonparametric exchange rate prediction?484 cited
  • 1991Economic Forecast Evaluation: Profits versus the Conventional Error Measures453 cited
  • 1995Banking on currency forecasts: How predictable is change in money?373 cited

Cited by

  • 1995The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence315 cited
  • 1998Forecasting the U.S. Unemployment Rate294 cited
  • 2003The out-of-sample success of term structure models as exchange rate predictors: a step beyond255 cited
  • 2015The impact of oil shocks on exchange rates: A Markov-switching approach253 cited
  • 2003Exchange rate forecasting: the errors we’ve really made244 cited
  • 1999Modeling non-linearities in real effective exchange rates235 cited
  • 1999Why do regime-switching models forecast so badly?216 cited
  • 2008The asymmetric effects of oil shocks on output growth: A Markov–Switching analysis for the G-7 countries213 cited
  • 2000

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Robust out-of-sample inference
211 cited
  • 2008A Markov regime switching approach for hedging energy commodities203 cited
  • 1998Regime Switches in Interest Rates172 cited
  • 1997Understanding spot and forward exchange rate regressions155 cited
  • 2009Exchange Rates and Fundamentals: Footloose or Evolving Relationship?154 cited
  • 2005ARE EXCHANGE RATES REALLY RANDOM WALKS? SOME EVIDENCE ROBUST TO PARAMETER INSTABILITY152 cited
  • 2002Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?148 cited
  • 1997On Fundamentals and Exchange Rates: A Casselian Perspective145 cited