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Can Markov Switching Models Predict Excess Foreign Exchange Returns? · Study

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ArticleCan Markov Switching Models Predict Excess Foreign Exchange Returns?

Michael J. Dueker2006

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Can Markov Switching Models Predict Excess Foreign Exchange Returns?

Michael J. Dueker · Christopher J. Neely

118 citations·0/0 files stored·Journal of Banking & Finance

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Financial Markets and Investment Strategies Forecasting Techniques and Applications Financial Risk and Volatility Modeling

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References

2012The Econometrics of Financial Markets 1997The Econometrics of Financial Markets 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 1983Empirical exchange rate models of the seventies 1968The Performance of Mutual Funds in the Period 1945-1964 1990Long Swings in the Dollar: Are They in the Data and Do Markets Know It?1997Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach 1993The significance of technical trading-rule profits in the foreign exchange market: a bootstrap approach

Cited by

2006The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market 2009Evaluation of pairs-trading strategy at the Brazilian financial market 2010Dynamic risk exposures in hedge funds 2011Short-run forecasting of the euro-dollar exchange rate with economic fundamentals 2008Leveraged carry trade portfolios 2009Price trends and patterns in technical analysis: A theoretical and empirical examination

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2008Weak-Form Efficiency in Currency Marketsarticle · 10 shared references 2006Technical Trading-Rule Profitability, Data Snooping, and Reality Check: Evidence from the Foreign Exchange Marketarticle · 9 shared references 2007The Obstinate Passion of Foreign Exchange Professionals: Technical Analysisarticle · 9 shared references 2006The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Marketpreprint · 8 shared references 2006The interaction between technical currency trading and exchange rate fluctuationsarticle · 8 shared references 2008Components of the profitability of technical currency tradingarticle · 8 shared references

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Year2006

Typearticle

Published2006-01-01

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations118

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jbankfin.2006.03.002

openalex_workW2006209738

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2012Stock market volatility and equity returns: Evidence from a two-state Markov-switching model with regressors

2010Measuring Systemic Risk in the Finance and Insurance Sectors