Hamilton's nonlinear filter is extended to allow state transitions to be duration dependent. Restrictions are imposed on the state transition matrix associated with a tau-order Markov system such that the corresponding first-order conditional transition probabilities are functions of both the...

This paper evaluates two popular regression methods of testing the unbaisedness hypothesis in the forward foreign exchange market. For the 30-day Canada/United States forward foreign exchange market, the evidence overwhelmingly indicates that it is inappropriate to treat the structure of the...

Existing methods of partitioning the market index into bull and bear regimes do not identify market corrections or bear market rallies. In contrast, our probabilistic model of the return distribution allows for rich and heterogeneous intra-regime dynamics. We focus on the characteristics and...

Existing methods of partitioning the market index into bull and bear regimes do not identify market corrections or bear market rallies. In contrast, our probabilistic model of the return distribution allows for rich and heterogeneous intra-regime dynamics. We focus on the characteristics and...