Número:
647
Publicado:
Clasificación JEL:
G14, G15, C41
Palabras clave:
Momentum, foreign exchange markets, hazard duration analysis, emerging economies

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Nicol Valeria Rodríguez-Rodríguez, Hernán Dario Perdomo-Sánchez
Luis Fernando Melo-Velandia, Daniel Parra-Amado, Juan Pablo Bermúdez-Cespedes
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