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Markov Switching and Exchange Rate Predictability · Study

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ArticleMarkov Switching and Exchange Rate Predictability

Alex Nikolsko‐Rzhevskyy2011

OA

Articlegreen2011

Markov Switching and Exchange Rate Predictability

Alex Nikolsko‐Rzhevskyy · Ruxandra Prodan

42 citations·0/0 files stored·International Journal of Forecasting

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Monetary Policy and Economic Impact Financial Markets and Investment Strategies Forecasting Techniques and Applications

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References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1994Comparing Predictive Accuracy 1983Empirical exchange rate models of the seventies 2006Approximately normal tests for equal predictive accuracy in nested models 2006Tests of Conditional Predictive Ability 1992Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement 1996Asymptotic Inference about Predictive Ability 2001Tests of equal forecast accuracy and encompassing for nested models

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2021Exploring the predictability of cryptocurrencies via Bayesian hidden Markov models 2020The behaviour of the real effective exchange rate of South Africa: Is there a misalignment?2013Can social microblogging be used to forecast intraday exchange rates?2020Exchange rates and fundamentals: Further evidence based on asymmetric causality test

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Details

Year2011

Typearticle

Published2011-01-01

VenueInternational Journal of Forecasting

ISSN-L0169-2070

Languageen

Citations42

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/j.ijforecast.2011.04.007

openalex_workW3123928653

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