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Do Moving Average Trading Rule Results Imply Nonlinearities in Foreign Exchange Markets
16 references·4 citing·39 second hop
Do Moving Average Trading Rule Results Imply Nonlinearities in Foreign Exchange Markets (1992)Do Moving Average Trading Rule Results Im…The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets (2014)The Empirical Evidence on the…Modelling Financial Time Series (2007)Modelling Financial Time Seri…The Message in Daily Exchange Rates (2002)The Message in Daily Exchange…The significance of technical trading-rule profits in the foreign exchange market: a bootstrap approach (1993)The significance of technical…Simulated Moments Estimation of Markov Models of Asset Prices (1993)Simulated Moments Estimation …The use of technical analysis in the foreign exchange market (1992)The use of technical analysis…Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Simple Technical Trading Rule…Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets (1992)Characterizing Predictable Co…ARCH modeling in finance (1992)ARCH modeling in financeNonparametric 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…Simulation and the Asymptotics of Optimization Estimators (1989)Simulation and the Asymptotic…A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration (1989)A Method of Simulated Moments…Beating the Foreign Exchange Market (1986)Beating the Foreign Exchange …Conditional variance and the risk premium in the foreign exchange market (1985)Conditional variance and the …Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…Calendar anomolies and stock market volatility in selected Arab stock exchanges (2008)Calendar anomolies and stock …Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates (1999)Real-Time Trading Models and …High frequency data in financial markets: Issues and applications (1997)High frequency data in financ…15 Bootstrap based tests in financial models (1996)15 Bootstrap based tests in f…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)The Economics of Exchange Rates (2003)Introductory Econometrics for Finance (2008)Expectations and Exchange Rate Dynamics (1976)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Time series forecasting using a hybrid ARIMA and neural network model (2003)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Dynamic Conditional Correlation (2002)On the Use of Simulated Frequencies to Approximate Choice Probabilities (1981)Patents as Options: Some Estimates of the Value of Holding European Patent Stocks (1984)Automobile Prices in Market Equilibrium (1995)Discrete Choice Methods with Simulation (2001)The Impact of Uncertainty Shocks (2009)A Conditional Probit Model for Qualitative Choice: Discrete Decisions Recognizing Interdependence and Heterogeneous Preferences (1978)ECONOMETRIC ANALYSIS OF QUALITATIVE RESPONSE MODELS (1984)Mixed MNL models for discrete response (2000)The General Theory of Employment, Interest and Money. (1936)The General Theory of Employment, Interest and Money. (1936)Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap (1999)Why is it so difficult to beat the random walk forecast of exchange rates? (2003)Testing for a Unit Root in Time Series Regression (1988)The Behavior of Stock-Market Prices (1965)Does the Stock Market Overreact? (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A test for independence based on the correlation dimension (1996)Are Investors Reluctant to Realize Their Losses? (1998)Modelling of extremal events in insurance and finance (1994)Modeling and Forecasting Realized Volatility (2003)Specification Analysis of Affine Term Structure Models (2000)Consumption Over the Life Cycle (2002)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)
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References

  • 1992ARCH modeling in finance4,343 cited
  • 1983Empirical exchange rate models of the seventies4,153 cited
  • 1992Simple Technical Trading Rules and the Stochastic Properties of Stock Returns2,311 cited
  • 1989A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration1,641 cited
  • 1989Simulation and the Asymptotics of Optimization Estimators1,496 cited
  • 2007Modelling Financial Time Series1,491 cited
  • 1992The use of technical analysis in the foreign exchange market1,071 cited
  • 1990Long Swings in the Dollar: Are They in the Data and Do Markets Know It?984 cited
  • 2002The Message in Daily Exchange Rates794 cited
  • 1993Simulated Moments Estimation of Markov Models of Asset Prices691 cited
  • 2014The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets601 cited
  • 1992Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets499 cited
  • 1985Conditional variance and the risk premium in the foreign exchange market485 cited
  • 1990Nonparametric exchange rate prediction?484 cited
  • 1993The significance of technical trading-rule profits in the foreign exchange market: a bootstrap approach

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472 cited
  • 1986Beating the Foreign Exchange Market450 cited
  • Cited by

    • 1997High frequency data in financial markets: Issues and applications411 cited
    • 1999Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates32 cited
    • 2008Calendar anomolies and stock market volatility in selected Arab stock exchanges23 cited
    • 199615 Bootstrap based tests in financial models19 cited