search query: @indexterm currency markets / total: 142
reference: 11 / 142
« previous | next »
Author:Foley, A. J.
Title:Regime switching in currency markets and portfolio flows
Journal:Journal of Asset Management
2002 : MAR, VOL. 2:4, p. 353-367
Index terms:CURRENCY
CURRENCY MARKETS
ASSETS
Language:eng
Abstract:This paper analyses a three-state Markov switching model with time-varying transition probabilities. The transition probabilities are modelled as functions of portfolio flows at a daily frequency. The evidence supports the hypothesis that currency market behaviour is characterised by regimes and that the probability of staying in a regime is materially impacted by portfolio flows. This suggests that timely knowledge of portfolio flows should be useful information for market participants attempting to add value via active currency trading.
SCIMA record nr: 235641
add to basket
« previous | next »
SCIMA