{"id":"https://openalex.org/W2005204582","doi":"https://doi.org/10.1016/0022-1996(94)90062-0","title":"Can the Markov switching model forecast exchange rates?","display_name":"Can the Markov switching model forecast exchange rates?","publication_year":1994,"publication_date":"1994-02-01","ids":{"openalex":"https://openalex.org/W2005204582","doi":"https://doi.org/10.1016/0022-1996(94)90062-0","mag":"2005204582"},"language":"en","primary_location":{"id":"doi:10.1016/0022-1996(94)90062-0","doi":"https://doi.org/10.1016/0022-1996(94)90062-0","is_oa":false,"landing_page_url":"https://doi.org/10.1016/0022-1996(94)90062-0","pdf_url":null,"source":{"id":"https://openalex.org/S198098467","display_name":"Journal of International Economics","issn_l":"0022-1996","issn":["0022-1996","1873-0353"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","jufo-3","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of International Economics","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5051581499","display_name":"Charles Engel","orcid":"https://orcid.org/0000-0002-0753-2232","observed_orcids":["https://orcid.org/0000-0002-0753-2232"]},"institutions":[{"id":"https://openalex.org/I1321305853","display_name":"National Bureau of Economic Research","ror":"https://ror.org/04grmx538","country_code":"US","type":"nonprofit","lineage":["https://openalex.org/I1321305853"]},{"id":"https://openalex.org/I201448701","display_name":"University of Washington","ror":"https://ror.org/00cvxb145","country_code":"US","type":"education","lineage":["https://openalex.org/I201448701"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Charles Engel","raw_affiliation_strings":["Department of Economics, University of Washington, Seattle, WA 98195, USA","National Bureau of Economic Research, Cambridge, MA 02138, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics, University of Washington, Seattle, WA 98195, USA","institution_ids":["https://openalex.org/I201448701"]},{"raw_affiliation_string":"National Bureau of Economic Research, Cambridge, MA 02138, USA","institution_ids":["https://openalex.org/I1321305853"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5051581499"],"corresponding_institution_ids":["https://openalex.org/I1321305853","https://openalex.org/I201448701"],"apc_list":{"value":4300,"currency":"USD","value_usd":4300},"apc_paid":null,"fwci":12.4092,"has_fulltext":false,"cited_by_count":415,"citation_normalized_percentile":{"value":0.99210806,"is_in_top_1_percent":true,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":97,"max":100},"biblio":{"volume":"36","issue":"1-2","first_page":"151","last_page":"165"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11918","display_name":"Forecasting Techniques and Applications","score":0.8574000000953674,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11918","display_name":"Forecasting Techniques and Applications","score":0.8574000000953674,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.1273999959230423,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.004999999888241291,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/markov-switching-model","display_name":"Markov regime switching","score":0.8809999823570251},{"id":"https://openalex.org/keywords/exchange-rate-forecasting","display_name":"exchange rate forecasting","score":0.9959999918937683},{"id":"https://openalex.org/keywords/random-walks","display_name":"random walks","score":0.652999997138977},{"id":"https://openalex.org/keywords/forward-rates","display_name":"forward rates","score":0.746999979019165},{"id":"https://openalex.org/keywords/forecast-accuracy","display_name":"forecast accuracy","score":0.6330000162124634},{"id":"https://openalex.org/keywords/mean-squared-error","display_name":"mean squared error","score":0.7250000238418579},{"id":"https://openalex.org/keywords/regime-switching-models","display_name":"regime switching","score":0.35899999737739563}],"concepts":[{"id":"https://openalex.org/C98763669","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov chain","level":2,"score":0.7574148774147034},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6710286140441895},{"id":"https://openalex.org/C121194460","wikidata":"https://www.wikidata.org/wiki/Q856741","display_name":"Random walk","level":2,"score":0.6701840758323669},{"id":"https://openalex.org/C2776988154","wikidata":"https://www.wikidata.org/wiki/Q66100","display_name":"Exchange rate","level":2,"score":0.6555569767951965},{"id":"https://openalex.org/C174303752","wikidata":"https://www.wikidata.org/wiki/Q3624438","display_name":"Forecast error","level":2,"score":0.6009753346443176},{"id":"https://openalex.org/C163836022","wikidata":"https://www.wikidata.org/wiki/Q6771326","display_name":"Markov model","level":3,"score":0.5438634753227234},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5277301073074341},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.4484460949897766},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.4336673617362976},{"id":"https://openalex.org/C198531522","wikidata":"https://www.wikidata.org/wiki/Q485146","display_name":"Sample (material)","level":2,"score":0.43287140130996704},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.0571998655796051},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.04924473166465759},{"id":"https://openalex.org/C97355855","wikidata":"https://www.wikidata.org/wiki/Q11473","display_name":"Thermodynamics","level":1,"score":0.04547250270843506}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1016/0022-1996(94)90062-0","doi":"https://doi.org/10.1016/0022-1996(94)90062-0","is_oa":false,"landing_page_url":"https://doi.org/10.1016/0022-1996(94)90062-0","pdf_url":null,"source":{"id":"https://openalex.org/S198098467","display_name":"Journal of International Economics","issn_l":"0022-1996","issn":["0022-1996","1873-0353"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","jufo-3","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of International Economics","raw_type":"journal-article"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.184.1568","doi":null,"is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.184.1568","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.ssc.wisc.edu/%7Ecengel/PublishedPapers/JIEMarkov.pdf","raw_type":"text"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"display_name":"Decent work and economic growth","score":0.49000000953674316,"id":"https://metadata.un.org/sdg/8"}],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":12,"referenced_works":["https://openalex.org/W47906050","https://openalex.org/W1499455878","https://openalex.org/W1521361552","https://openalex.org/W1556645910","https://openalex.org/W1572930125","https://openalex.org/W1973959218","https://openalex.org/W1981822914","https://openalex.org/W2052441401","https://openalex.org/W2074812030","https://openalex.org/W2890851728","https://openalex.org/W3124658081","https://openalex.org/W4301140007"],"related_works":["https://openalex.org/W2896553871","https://openalex.org/W2068432028","https://openalex.org/W2914837530","https://openalex.org/W1513904014","https://openalex.org/W2073552900","https://openalex.org/W964187603","https://openalex.org/W3123928653","https://openalex.org/W2002061915","https://openalex.org/W7097511760","https://openalex.org/W1994208839"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":4},{"year":2025,"cited_by_count":6},{"year":2024,"cited_by_count":4},{"year":2023,"cited_by_count":9},{"year":2022,"cited_by_count":11},{"year":2021,"cited_by_count":16},{"year":2020,"cited_by_count":14},{"year":2019,"cited_by_count":28},{"year":2018,"cited_by_count":19},{"year":2017,"cited_by_count":16},{"year":2016,"cited_by_count":23},{"year":2015,"cited_by_count":20},{"year":2014,"cited_by_count":27},{"year":2013,"cited_by_count":18},{"year":2012,"cited_by_count":12}],"updated_date":"2026-10-16T09:59:22.235173","created_date":"2016-06-24T00:00:00"}