Can Markov switching models predict excess foreign exchange returns?

Journal of Banking and Finance

Volumn 31, Issue 2, 2007, Pages 279-296

  Dueker, Michael ^a   Neely, Christopher J ^a  

^a FEDERAL RESERVE BANK OF ST LOUIS   (United States)

Author keywords

Excess returns; Exchange rates; Markov switching; Predictability; Technical trading rules

Indexed keywords

EID: 33846590973     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2006.03.002     Document Type: Article

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