Número:
647
Publicado:
Clasificación JEL:
G14, G15, C41
Palabras clave:
Momentum, foreign exchange markets, hazard duration analysis, emerging economies
Lo más reciente
Juan Sebastián Mariño-Montaña, Daniela Rodriguez-Novoa, Camilo Eduardo Sánchez-Quinto
Camilo Gómez, Mariana Escobar-Villarraga, Ligia Alba Melo-Becerra, Hector Manuel Zárate-Solano
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