Can the Markov switching model forecast exchange rates?

A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

1989 • 9,360 citations

Empirical exchange rate models of the seventies

1983 • 4,141 citations

Analysis of time series subject to changes in regime

1990 • 1,948 citations

Long Swings in the Dollar: Are They in the Data and Do Markets Know It?

1990 • 1,006 citations

Nonparametric exchange rate prediction?

1990 • 509 citations

Economic Forecast Evaluation: Profits versus the Conventional Error Measures

1991 • 469 citations

Banking on currency forecasts: How predictable is change in money?

1995 • 394 citations

9 Estimation, inference and forecasting of time series subject to changes in regime

1993 • 169 citations

A Utility Based Comparison of Some Models of Exchange Rate Volatility

1993 • 20 citations

Comparing Predictive Accuracy I: An Asymptotic Test

1991 • 16 citations