Borradores de Economia
Número:
647
Publicado:
Clasificación JEL:
G14, G15, C41
Palabras clave:
Momentum, foreign exchange markets, hazard duration analysis, emerging economies
Lo más reciente
Juan Camilo Medellín-Martínez, Sergio Restrepo Ángel
Andrea Sofía Otero-Cortés, Karina Acosta, Jhorland Ayala-García, Oriana Álvarez Vos, Sara Rojas
Jorge Florez-Acosta, Margarita María Gáfaro-González, Alejandra González-Ramírez, Juan Sebastián Vélez-Velásquez
This study proposes a new method for testing for the presence of momentum in nominal exchange rates, using a probabilistic approach. We illustrate our methodology estimating a binary response model using information on local currency / US dollar exchange