This paper uses Markov-switching models to investigate the impact of oil shocks on real
exchange rates for a sample of oil exporting and oil importing countries. This is an important …

In this paper, we consider a variety of multi-state hidden Markov models for predicting and
explaining the Bitcoin, Ether and Ripple returns in the presence of state (regime) dynamics …

Forecasting exchange rates is a subject of wide interest to both academics and practitioners.
We aim at contributing to this vivid research area by highlighting the role of both technical …

We revisit the evidence on PPP in the twentieth century allowing for Markov regime
switching in the ADF regression. Using Lopez et al.'s (2005) extension of Taylor's (2002) …

This paper investigates the unemployment rate dynamics in Poland, Hungary, Slovakia,
Latvia, Lithuania, Estonia, Bulgaria, Romania and Ukraine during 2000–2017. To analyze …

Several theoretical models suggest that the mere announcement of entering a currency
union in the future triggers instantaneous changes in exchange-rate volatility. First, this …

The dynamics of European unemployment showed considerable fluctuations and
asymmetric behaviour during business cycles over the past decade. The dynamic pattern of …

Traders and investors in FOREX use past values to forecast future values where the use of
soft computing algorithms is essential. In this path, new linear regression models for interval …

Frontier markets have become increasingly investible, providing diversification
opportunities; however, there is very little research (with conflicting results) on the …

We specify an empirical framework to detect the effects of official intervention on real
exchange rate dynamics. Using data for 27 advanced and emerging market economies, we …