A simple test of momentum in foreign exchange markets

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

Detalles Bibliográficos
Autores Principales: García-Suaza, Andrés Felipe, Gómez-González, José Eduardo
Formato: Documento de trabajo (Working Paper)
Lenguaje:Español (Spanish)
Publicado: Banco de la República 2011
Materias:
Acceso en línea:http://repositorio.banrep.gov.co/handle/20.500.12134/5664