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Unpredictable After All? A short note on exchange rate predictability. (2001). Moerman, G. A..
In: ERIM Report Series Research in Management.
RePEc:ems:eureri:91.

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  1. Ø Bansal R. 1997. An Exploration of the Forward Premium Puzzle in Currency Markets. The Review of Financial Studies 10: 369-403 Ø Dacco R, Satchell S.1999. Why do Regime-switching Models Forecasts so Badly?. Journal of Forecasting 18: 1-16 Ø Engel C. 1994. Can the Markov switching model forecast exchange rates? Journal of International Economics 36: 151-165 Ø Engel CM, Hamilton JD. 1990. Long Swings in the Dollar: Are They in the Data and Do Markets Know It? The American Economic Revie 80: 689-713 Ø Hamilton JD. 1990. Analysis of Time Series Subject to Changes in Regime.

  2. CentER for Economic Research, Tilburg University, Discussion Paper No. 9909 Ø Mark NC. 1995. Exchange Rates and Fundamentals: Evidence on Long-Horizon Predictability. The American Economic Review 85: 201-218 Ø Martinez Peria MS. 1999. A Regime Switching Approach to Studying Speculative Attacks: A Focus on European Monetary System Crises. Worldbank Working Papers, no. 2132 Ø Meese RA. Rogoff K. 1983. Empirical exchange rate models of the seventies: Do they fit out of sample? Journal of International Economics 14: 3-24 Ø Meese RA Rogoff K. 1988. Was it Real? The Exchange-Rate Interest Differential Relation Over the Modern Floating-Rate Period. Journal of Finance 43: 933948 page 14

  3. Journal of Econometrics 45: 39-70 Ø Hamilton JD. 1994. Time Series Analysis. Princeton University Press: Princeton, New Jersey Ø Kim CJ. 1993. Dynamic Linear Models with Markov-Switching. Journal of Econometrics 60: 1-22 Ø Klaassen FJGM. 1999-1. Long Swings in Exchange Rates: Are They Really in the Data?. CentER for Economic Research, Tilburg University, Discussion Paper No. 9908 Ø Klaassen FJGM. 1999-2. Purchasing Power Parity: Evidence from a New Test.

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