Exchange Rates and Markov Switching Dynamics
- 1 July 2005
- journal article
- Published by Taylor & Francis in Journal of Business & Economic Statistics
- Vol. 23 (3) , 314-320
- https://doi.org/10.1198/073500104000000488
Abstract
This article presents a systematic and extensive empirical study on the presence of Markov switching dynamics in three dollar-based exchange rates. A Monte Carlo approach is adopted to circumvent t...Keywords
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