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Volume and volatility in foreign exchange market microstructure: a Markov switching approach

โœ Scribed by Khemiri, Rim


Book ID
120374707
Publisher
Taylor and Francis Group
Year
2012
Tongue
English
Weight
157 KB
Volume
22
Category
Article
ISSN
0960-3107

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โœ Ian W. Marsh ๐Ÿ“‚ Article ๐Ÿ“… 2000 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 128 KB

This paper estimates two-state Markov models for three daily exchange rate series, and investigates the proยฎtability of following the generated forecasts using the performance of simple chartist trading rules as benchmarks. It is shown that (1) the data are well approximated by Markov models, (2) th