Do Moving Average Trading Rule Results Imply Nonlinearities in Foreign Exchange Markets

Bootstrap Methods: Another Look at the Jackknife

1979 • 16,552 citations

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

1987 • 15,268 citations

ARCH modeling in finance

1992 • 4,478 citations

Empirical exchange rate models of the seventies

1983 • 4,141 citations

Simple Technical Trading Rules and the Stochastic Properties of Stock Returns

1992 • 2,176 citations

A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration

1989 • 1,675 citations

Simulation and the Asymptotics of Optimization Estimators

1989 • 1,536 citations

Modelling Financial Time Series

2007 • 1,507 citations

The use of technical analysis in the foreign exchange market

1992 • 1,100 citations

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

1990 • 1,006 citations

The Message in Daily Exchange Rates

2002 • 828 citations

Simulated Moments Estimation of Markov Models of Asset Prices

1993 • 680 citations

The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets

2014 • 628 citations

Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets

1992 • 534 citations

Conditional variance and the risk premium in the foreign exchange market

1985 • 512 citations

Nonparametric exchange rate prediction?

1990 • 509 citations

The statistical properties of daily foreign exchange rates: 1974–1983

1988 • 452 citations

Beating the Foreign Exchange Market

1986 • 437 citations

Chartists, Fundamentalists, and Trading in the Foreign Exchange Market

1990 • 429 citations

Simulation estimation of time-series models

1991 • 418 citations

Naive Trading Rules in Financial Markets and Wiener-Kolmogorov Prediction Theory: A Study of "Technical Analysis"

1991 • 280 citations

The Foreign Exchange Market: A Random Walk with a Dragging Anchor

1988 • 272 citations

Changing Beliefs and Systematic Rational Forecast Errors with Evidence from Foreign Exchange

1989 • 260 citations

Are foreign exchange forecasts rational?

1986 • 184 citations

Nonlinear, Nonparametric, Nonessential Exchange Rate Estimation

1990 • 159 citations

Technical trading rules and regime shifts in foreign exchange

2002 • 91 citations

Rewards Available to Currency Futures Speculators: Compensation for Risk or Evidence of Inefficient Pricing?

1992 • 85 citations

Model Checking via Parametric Bootstraps in Time Series Analysis

1992 • 82 citations

Conjectured Models for Trends in Financial Prices, Tests and Forecasts

1980 • 77 citations

When Support/Resistance Levels are Broken, Can Profits be Made? Evidence from the Foreign Exchange Market

1992 • 22 citations

The Significance of Technical Trading-Rule Profits in the Foreign Exchange Market: A Bootstrap Approach

1991 • 14 citations

The Stability of Speculative Profits in the Foreign Exchanges

1989 • 7 citations

Nominal Profits, Risk and Uncertainty in Foreign Exchange Markets

1988 • 5 citations

Essays on nonlinear models of foreign exchange

1992 • 3 citations

Trends in Expected Returns in Currency and Bond Markets

1992 • 2 citations