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Multivariate density forecast evaluation and calibration in financial risk management : high-frequency returns on foreign exchange
Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. A. - In: The review of economics and statistics 81 (1999) 4, pp. 661-673
Persistent link: https://www.econbiz.de/10001437391
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Technical analysis in the foreign exchange market : a cointegration-based approach
Fiess, Norbert M.; MacDonald, Ronald - In: Multinational finance journal : MF ; quarterly … 3 (1999) 3, pp. 147-172
Persistent link: https://www.econbiz.de/10001566860
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Regime switching models in the foreign exchange market
Chia, Wai-mun; Mengling Li; Zheng, Huanhuan - In: Nonlinear economic dynamics and financial modelling : …, (pp. 201-223). 2014
Persistent link: https://www.econbiz.de/10011286585
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Improving GARCH volatility forecasts with regime-switching GARCH
Klaassen, Franc - In: Empirical economics : a journal of the Institute for … 27 (2002) 2, pp. 363-394
Persistent link: https://www.econbiz.de/10001655657
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Switching between chartists and fundamentalists : a Markov regime-switching approach
Vigfusson, Robert J. - In: International journal of finance & economics : IJFE 2 (1997) 4, pp. 291-305
Persistent link: https://www.econbiz.de/10001338173
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Regime switching, exchange rate volatility and intervention in BRICS currency markets
Das, Suman; Roy, Saikat Sinha - 2020
Persistent link: https://www.econbiz.de/10013361933
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ASEAN-5 forex rates and crude oil : Markov regime-switching analysis
Mukhriz Izraf Azman Aziz; Umar, Zaghum; Gubareva, Mariya; … - In: Applied economics 54 (2022) 54, pp. 6234-6253
Persistent link: https://www.econbiz.de/10013411364
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A Markov-switching approach to measuring exchange market pressure
Kumah, Francis Y. - In: International journal of finance & economics : IJFE 16 (2011) 2, pp. 114-130
Persistent link: https://www.econbiz.de/10009159757
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Volatility spillover analysis between stocks and exchange rate markets in short and long terms in East European and Eurasian countries
Živkov, Dejan; Gajić-Glamočlija, Marina; … - In: International journal of emerging markets 18 (2023) 11, pp. 5068-5086
Persistent link: https://www.econbiz.de/10014458484