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Why use Markov-switching models in exchange rate prediction?

✍ Scribed by Hsiu-Yun Lee; Show-Lin Chen

Book ID: 116423672
Publisher: Elsevier Science
Year: 2006
Tongue: English
Weight: 106 KB
Volume: 23
Category: Article
ISSN: 0264-9993
DOI: 10.1016/j.econmod.2006.03.007

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This paper estimates two-state Markov models for three daily exchange rate series, and investigates the pro®tability 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