search query: @freeterm Markov switching / total: 5
reference: 3 / 5
| Author: | Dewachter, H. |
| Title: | Can Markov switching models replicate chartist profits in the foreign exchange market? |
| Journal: | Journal of International Money and Finance
2001 : FEB, VOL. 20:1, p. 25-41 |
| Index terms: | EXCHANGE RATES TRADING |
| Freeterms: | MARKOV SWITCHING |
| Language: | eng |
| Abstract: | In this paper the authors show that the Markov switching model is a relevant statistical alternative to the classical martingale model for exchange rates. By extending the standard Markov switching model the authors decisively reject the martingale model. Moreover, the model generates autocorrelations and linear structures in line with what is observed in reality. Subsequently, the authors test whether this model can explain chartist profits. |
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