Exchange Rates and Markov Switching Dynamics *

@inproceedings{Cheung2005ExchangeRA,
  title={Exchange Rates and Markov Switching Dynamics *},
  author={Yin-wong Cheung},
  year={2005}
}
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 the statistical inference problem inherent in the test of regime-switching behavior. Two data frequencies, two sample periods, and various specifications are… CONTINUE READING