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Can Markov switching models predict excess foreign exchange returns?
Dueker, Michael (contributor);  … - 2003 - [Elektronische Ressource], rev.
Persistent link: https://www.econbiz.de/10001964834
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Can Markov Switching Models Predict Excess Foreign Exchange Returns?
Dueker, Michael; Neely, Christopher J. - 2006
This paper merges the literature on technical trading rules with the literature on Markov switching to develop economically useful trading rules. The Markov models' out-of sample, excess returns modestly exceed those of standard technical rules and are profitable over the most recent subsample....
Persistent link: https://www.econbiz.de/10014067563
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Compound volatility processes in EMS exchange rates
Dueker, Michael - 1994
Persistent link: https://www.econbiz.de/10000896965
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The giant sucking sound : did NAFTA devour the Mexican peso?
Neely, Christopher J. - In: Journal of foreign exchange and international finance : … 11 (1997) 1, pp. 29-45
Persistent link: https://www.econbiz.de/10001400866
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Target zones and conditional volatility : the role of realignments
Neely, Christopher J. - In: Journal of empirical finance 6 (1999) 2, pp. 177-192
Persistent link: https://www.econbiz.de/10001426341
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Target zones and conditional volatility : an ARCH application to the EMS
Neely, Christopher J. - 1993
Persistent link: https://www.econbiz.de/10000897484
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Technical analysis in the foreign exchange market : a Layman's guide
Neely, Christopher J. - In: Review / Federal Reserve Bank of St. Louis 79 (1997) 5, pp. 23-38
Persistent link: https://www.econbiz.de/10001231974
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The giant sucking sound : did NAFTA devour the Mexican peso?
Neely, Christopher J. - In: Review / Federal Reserve Bank of St. Louis 78 (1996) 4, pp. 33-47
Persistent link: https://www.econbiz.de/10001213411
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A survey of announcement effects on foreign exchange volatility and jumps
Neely, Christopher J. - In: Review / Federal Reserve Bank of St. Louis 93 (2011) 5, pp. 361-407
Persistent link: https://www.econbiz.de/10009347999
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The temporal pattern of trading rule returns and exchange rate intervention : intervention does not generate technical trading profits
Neely, Christopher J. - In: Foreign exchange markets, (pp. 203-224). 2005
Persistent link: https://www.econbiz.de/10003290906