High‐frequency Markov switching models in the foreign exchange market
By I. Marsh. 2000
112 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/6b3f06fbe50910b972eb0f89131a2fdc4c2996b3
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Lukas Menkhoff
- Mark P. Taylor
- Kenneth S. Rogoff
- Scott H. Irwin
- Vania Stavrakeva
- Cheolbeom Park
- J. Okunev
- Dennis Olson
In Finance
- Lukas Menkhoff
- Mark P. Taylor
- Scott H. Irwin
- Cheolbeom Park
- J. Okunev
- Vania Stavrakeva
- Dennis Olson
- Derek White
In Management Science and Operations Research
- Mark P. Taylor
- Lukas Menkhoff
- J. Okunev
- Vania Stavrakeva
- Dennis Olson
- Derek White
- Scott H. Irwin
- Kenneth S. Rogoff
Citations in the corpus
- Do Momentum-Based Strategies Still Work in Foreign Currency Markets? (2003, background): “Raj (2000) and Neely and Weller (2001a) have shown that technical trading rules do not produce significant profits using intra-day data.”
- The Profitability of Technical Analysis: A Review (2004, background): “5 Cheung, Chinn, and Marsh (2000) surveyed the views of UK-based foreign exchange dealers on technical anaysis in 1998.”
- Have trading rule profits in the currency markets declined over time (2004, background): “…models to replicate technical trading rules and finds 6% average abnormal returns for four currencies over the entire period 1973 – 1997, but Marsh (2000) notes that profits from Markov switching models for three of these same currencies declined substantially in the 1990s relative to the…”
- The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis (2007, background): “…Lucke, 2003), candlestick formations (Fiess and MacDonald, 2002), neural networks (Gencay, 1999), genetic programming (Neely, Weller and Dittmar, 1997; Neely and Weller, 1999, 2001), Markov switching models (Marsh, 2000; Dueker and Neely, 2005) and real-time trading models (Gencay et al., 2003).”
- The Continuing Puzzle of Short Horizon Exchange Rate Forecasting (2008, methodology): “One of the most widely used measures, popularized in the exchange rate literature by Meese and Rogoff (1983a), is the minimum mean-square forecast error (MSFE) approach, also known as the MSFE – dominance approach.”