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Switching between chartists and fundamentalists: a Markov regime-switching approach
9 references·16 citing·49 second hop
Switching between chartists and fundamentalists: a Markov regime-switching approach (1997)Switching between chartists and fundament…Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP (1996)Erratum: The likelihood ratio…Terms of trade and real exchange rates: the Canadian evidence (1995)Terms of trade and real excha…Can the Markov switching model forecast exchange rates? (1994)Can the Markov switching mode…Is there a peso problem? Evidence from the dollar/pound exchange rate, 1976-1987 (1993)Is there a peso problem? Evid…9 Estimation, inference and forecasting of time series subject to changes in regime (1993)9 Estimation, inference and f…The use of technical analysis in the foreign exchange market (1992)The use of technical analysis…Speculative Dynamics and the Role of Feedback Traders (1990)Speculative Dynamics and the …Currency Fluctuations in the Post-Bretton Woods Era (1990)Currency Fluctuations in the …The Foreign Exchange Market: A Random Walk with a Dragging Anchor (1988)The Foreign Exchange Market: …An Intraday Analysis of the Effectiveness of Foreign Exchange Intervention (2021)An Intraday Analysis of the E…Empirical Validation of Agent-Based Models ✶ ✶We gratefully acknowledge the very detailed and careful comments by three anonymous reviewers. Very useful feedback and comments have also been provided by Robert Axtell, Herbert Dawid, Cees Diks, and Blake LeBaron. 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this work references cited by second hop

References

  • 1992The use of technical analysis in the foreign exchange market1,071 cited
  • 1996Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP645 cited
  • 1990Speculative Dynamics and the Role of Feedback Traders454 cited
  • 1994Can the Markov switching model forecast exchange rates?415 cited
  • 1990Currency Fluctuations in the Post-Bretton Woods Era284 cited
  • 1988The Foreign Exchange Market: A Random Walk with a Dragging Anchor255 cited
  • 1995Terms of trade and real exchange rates: the Canadian evidence189 cited
  • 1993Is there a peso problem? Evidence from the dollar/pound exchange rate, 1976-1987189 cited
  • 19939 Estimation, inference and forecasting of time series subject to changes in regime160 cited

Cited by

  • 2000High-frequency Markov switching models in the foreign exchange market116 cited
  • 2007Estimation of an adaptive stock market model with heterogeneous agents92 cited
  • 2009Behavioural heterogeneity and shift-contagion: Evidence from the Asian crisis84 cited
  • 2007The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis78 cited
  • 2009The economic value of fundamental and technical information in emerging currency markets78 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2014Heterogeneous expectations in asset pricing: Empirical evidence from the S&P50074 cited
  • 1999Speculative Behavior, Regime-Switching, and Stock Market Crashes67 cited
  • 2012Estimating behavioural heterogeneity under regime switching64 cited
  • 2017Estimation of financial agent-based models with simulated maximum likelihood64 cited
  • 2018Empirical Validation of Agent-Based Models ✶ ✶We gratefully acknowledge the very detailed and careful comments by three anonymous reviewers. Very useful feedback and comments have also been provided by Robert Axtell, Herbert Dawid, Cees Diks, and Blake LeBaron.63 cited
  • 2012Stable mixture GARCH models60 cited
  • 2004The Psychology of the Foreign Exchange Market53 cited
  • 2012Estimation of an agent-based model of investor sentiment formation in financial markets53 cited
  • 2021An Intraday Analysis of the Effectiveness of Foreign Exchange Intervention45 cited
  • 2014Heterogeneous expectations in the gold market: Specification and estimation40 cited
  • 2008Exchange rate dynamics in a target zone—A heterogeneous expectations approach39 cited