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Can Markov Switching Models Predict Excess Foreign Exchange Returns?
16 references·16 citing·40 second hopsampled
Can Markov Switching Models Predict Excess Foreign Exchange Returns? (2006)Can Markov Switching Models Predict Exces…The Econometrics of Financial Markets (2012)The Econometrics of Financial…The out-of-sample success of term structure models as exchange rate predictors: a step beyond (2003)The out-of-sample success of …Have trading rule profits in the currency markets declined over time? (2003)Have trading rule profits in …Do Momentum-Based Strategies Still Work in Foreign Currency Markets? (2003)Do Momentum-Based Strategies …Technical trading rule profitability and foreign exchange intervention (1999)Technical trading rule profit…Methodical Madness: Technical Analysis and the Irrationality of Exchange‐rate Forecasts (1999)Methodical Madness: Technical…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility (1997)Markov Switching in GARCH Pro…Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach (1997)Is Technical Analysis in the …Can the Markov switching model forecast exchange rates? (1994)Can the Markov switching mode…The significance of technical trading-rule profits in the foreign exchange market: a bootstrap approach (1993)The significance of technical…Long Swings in the Dollar: Are They in the Data and Do Markets Know It? (1990)Long Swings in the Dollar: Ar…Beating the Foreign Exchange Market (1986)Beating the Foreign Exchange …Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…The Performance of Mutual Funds in the Period 1945-1964 (1968)The Performance of Mutual Fun…Exchange rate return predictability in times of geopolitical risk (2022)Exchange rate return predicta…Stock market volatility and equity returns: Evidence from a two-state Markov-switching model with regressors (2012)Stock market volatility and e…Technical Analysis in the Foreign Exchange Market (2011)Technical Analysis in the For…Short-run forecasting of the euro-dollar exchange rate with economic fundamentals (2011)Short-run forecasting of the …Measuring Systemic Risk in the Finance and Insurance Sectors (2010)Measuring Systemic Risk in th…Dynamic risk exposures in hedge funds (2010)Dynamic risk exposures in hed…Price trends and patterns in technical analysis: A theoretical and empirical examination (2009)Price trends and patterns in …Evaluation of pairs-trading strategy at the Brazilian financial market (2009)Evaluation of pairs-trading s…A momentum trading strategy based on the low frequency component of the exchange rate (2009)A momentum trading strategy b…Overconfidence in Currency Markets (2008)Overconfidence in Currency Ma…Leveraged carry trade portfolios (2008)Leveraged carry trade portfol…Crises and Hedge Fund Risk (2008)Crises and Hedge Fund RiskComponents of the profitability of technical currency trading (2008)Components of the profitabili…The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis (2007)The Obstinate Passion of Fore…The interaction between technical currency trading and exchange rate fluctuations (2006)The interaction between techn…The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market (2006)The Adaptive Markets Hypothes…How Big Is the Random Walk in GNP? (1988)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)ARCH modeling in finance (1992)The Economics of Exchange Rates (2003)Introductory Econometrics for Finance (2008)Expectations and Exchange Rate Dynamics (1976)Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)An Intertemporal Capital Asset Pricing Model (1973)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Forward and spot exchange rates (1984)Agent-based computational finance: Suggested readings and early research (2000)The obstinate passion of Foreign Exchange Professionals: \ntechnical analysis (2006)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)The use of technical analysis in the foreign exchange market (1992)Market Statistics and Technical Analysis: The Role of Volume (1994)Chapter 24 Agent-based Computational Finance (2006)WHAT DO WE KNOW ABOUT THE PROFITABILITY OF TECHNICAL ANALYSIS? (2007)Currency momentum strategies (2012)Filter Rules and Stock-Market Trading (1966)Anomalies: Foreign Exchange (1990)High frequency data in financial markets: Issues and applications (1997)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence (1995)Forecasting the U.S. Unemployment Rate (1998)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Efficient Capital Markets: II (1991)How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)
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References

  • 2012The Econometrics of Financial Markets5,875 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1968The Performance of Mutual Funds in the Period 1945-19641,708 cited
  • 1990Long Swings in the Dollar: Are They in the Data and Do Markets Know It?984 cited
  • 1997Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach641 cited
  • 1993The significance of technical trading-rule profits in the foreign exchange market: a bootstrap approach472 cited
  • 1986Beating the Foreign Exchange Market450 cited
  • 1994Can the Markov switching model forecast exchange rates?415 cited
  • 1999Technical trading rule profitability and foreign exchange intervention390 cited
  • 1997Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility375 cited
  • 2003Do Momentum-Based Strategies Still Work in Foreign Currency Markets?309 cited
  • 2003The out-of-sample success of term structure models as exchange rate predictors: a step beyond255 cited
  • 2003Have trading rule profits in the currency markets declined over time?

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202 cited
  • 1999Methodical Madness: Technical Analysis and the Irrationality of Exchange‐rate Forecasts158 cited
  • Cited by

    • 2009Evaluation of pairs-trading strategy at the Brazilian financial market113 cited
    • 2006The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market113 cited
    • 2010Dynamic risk exposures in hedge funds110 cited
    • 2008Leveraged carry trade portfolios109 cited
    • 2011Short-run forecasting of the euro-dollar exchange rate with economic fundamentals109 cited
    • 2009Price trends and patterns in technical analysis: A theoretical and empirical examination95 cited
    • 2012Stock market volatility and equity returns: Evidence from a two-state Markov-switching model with regressors84 cited
    • 2010Measuring Systemic Risk in the Finance and Insurance Sectors79 cited
    • 2007The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis78 cited
    • 2022Exchange rate return predictability in times of geopolitical risk73 cited
    • 2008Crises and Hedge Fund Risk67 cited
    • 2006The interaction between technical currency trading and exchange rate fluctuations63 cited
    • 2008Components of the profitability of technical currency trading56 cited
    • 2009A momentum trading strategy based on the low frequency component of the exchange rate51 cited
    • 2011Technical Analysis in the Foreign Exchange Market47 cited
    • 2008Overconfidence in Currency Markets46 cited