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
Aarón Levi Garavito-Acosta, Wilmer Martinez-Rivera, Juan J. Ospina-Tejeiro, Edgar Caicedo-García
Leonardo Fabio Morales, Diego Astorga-Rojas, Nicolas Guida-Johnson
Mauricio Villamizar-Villegas, Oscar Mauricio Valencia-Arana, Andrés Felipe Prado, Nicolás Aya
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