REFERENCES Bonilla, C.A. Romero-Meza, R. and Hinich, M.J. (2006), “Episodic Nonlinearity in Latin American Stock Markets Indices”, Applied Economics Letters, 13: 195-199. Bonilla, C.A. Romero-Meza, R. and Hinich, M.J. (2007), “GARCH inadequacy for modeling exchange rates: Empirical evidence from Latin America”, Applied Economics, 39(19): 2529-2533. Brock, W. Lakonishok, J. and LeBaron, B. (1992), “Simple Technical Trading Rules and the Stochastic Properties of Stock Returns.” Journal of Finance, 47: 1731-1764. Brooks, C. Hinich, M.J. and Molyneux, R. (2000), “Episodic nonlinear event detection: Political epochs in exchange rates”, In: D. Richards (Ed.), Political complexity: Political epochs in exchange rates , Ann Arbor, MI: Michigan University Press, pp. 83-98. Brooks, C. and Hinich, M.J. (2001), “Bicorrelations and cross-bicorrelations as nonlinearity tests and tools for exchange rate forecasting”, Journal of Forecasting, 20: 181􀃭196. Cheung, Y.W. and Wong, C.Y.P. (1997), “The performance of trading rules on four Asian currency exchange rates”, Multinational Finance Journal, 1: 1-22. Gencay, R. (1999), “Linear, Non-Linear and Essential Foreign Exchange Rate Prediction with Simple Technical Trading Rules”, Journal of International Economics, 47: 91-107. Gradojevic, N. (2007), “Non-linear, hybrid exchange rate modeling and trading profitability in the foreign exchange market”, Journal of Economic Dynamics and Control, 31: 557–574. Hinich, M.J. and Patterson, D.M. (1995), Detecting epochs of transient dependence in white noise, Mimeo, University of Texas at Austin. Hinich M.J. and Serletis A. (2007), “Episodic Nonlinear Event Detection in the Canadian Exchange Rate”, Journal of the American Statistical Association, 102: 68-74. Kho, B.C. (1996), “Time-varying risk premium, volatility, and technical trading rule profits: Evidence from foreign currency futures markets”, Journal of Financial Economics, 41: 249–290. LeBaron, B. (1999), “Technical trading rule profitability and foreign exchange intervention”, Journal of International Economics, 49: 125-143. Lee, C.I. Gleason, J.C. and Mathur, I. (2001), “Trading Rule Profits in Latin American Currency Spot Rates.” International Review of Financial Analysis, 10: 135-156. Levich, R.M. and Thomas, L. R. (1993) “The Significance of Technical Trading-Rule Profits in the Foreign Exchange Market: A Bootstrap Approach”, Journal of International Money and Finance, 12: 451-474. Lim, K.P. and Liew, V.K.S. (2004), “Non-linearity in financial markets: evidence from ASEAN-5 exchange rates and stock markets”, ICFAI Journal of Applied Finance, 10(5): 5-18. Lim, K.P. Brooks R.D. and Kim J.H. (2008), “Financial crisis and stock market efficiency: Empirical evidence from Asian countries”, International Review of Financial Analysis, 17(3): 571-591. Lim, K.P. Brooks R.D., Hinich, M.J. (2008), “Nonlinear serial dependence and the weak-form efficiency of Asian emerging stock markets”, Journal of International Financial Markets, Institutions and Money, 18(5): 527-544. Lo, A. W. (2004), “The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective”, Journal of Portfolio Management, 30th Anniversary Issue: 15-29. Lobato, I.N. Nankervis J.C. and Savin, N.E. (2002), “Testing for Zero Autocorrelation in the Presence of Statistical Dependence”, Econometric Theory, 18: 730-743. Maillet, B. and Michel, T. (2000), “Further Insights on the Puzzle of Technical Analysis Profitability.” European Journal of Finance, 6: 196-224. McLeod, A.I. and Li, W.K. (1983), “Diagnostic Checking ARMA Time Series Models Using Squared-Residual Autocorrelations”, Journal of Time Series Analysis, 4: 269-273. Neely, C.J. Weller, P. and Dittmar, R. (1997), “Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach”, Journal of Financial and Quantitative Analysis, 32: 405-426. Neely, C. J. Weller, P. A. and Ulrich, J. M. (2009), “The Adaptive Market Hypothesis: Evidence from the Foreign Exchange Market”, Journal of Financial and Quantitative Analysis, 44:467-488. Newey, W.K. and West, K.D. (1987), “A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix”, Econometrica, 55(3): 73-708. Okunev, J. and White, D. (2003), “Do Momentum Strategies Still Work in Foreign Currency Markets?”, Journal of Financial and Quantitative Analysis, 38: 425-447. Olson, D. (2004), “Have trading rule profits in the currency markets declined over time?”, Journal of Banking and Finance, 28: 85–105. Patterson, D. and Ashley, R. (2000), A Nonlinear Time Series Workshop: A Toolkit for Detecting and Identifying Nonlinear Serial Dependence, Kluwer Academic Publishers, Boston. Qi, M. and Wu, Y. (2006), “Technical Trading-Rule Profitability, Data Snooping, and Reality Check: Evidence from the Foreign Exchange Market”, Journal of Money, Credit, and Banking, 38(8): 2136-2158. Saacke, P. (2002), “Technical analysis and the effectiveness of central bank intervention”, Journal of International Money and Finance, 21: 459-479. Schulmeister, S. (2008), “Components of the profitability of technical currency trading”, Applied Financial Economics, 11: 917 – 930. Shik, T.C. and Chong, T.T.L. (2007), “A comparison of MA and RSI returns with exchange rate intervention”, Applied Economics Letters, 14(5):371-383. Sweeney, R. J. (1986), “Beating the Foreign Exchange Market”, Journal of Finance, 41: 163-182. Tabak, B.M. and Lima E.J. (2009), “Market efficiency of Brazilian exchange rate: Evidence from variance ratio statistics and technical trading rules”, European Journal of Operational Research, 194: 814–820. Todea, A. Zoicas-Ienciu, A. (2008), “Episodic Dependencies in Central and Eastern Europe Stock Markets”, Applied Economics Letters 15(13): 1123-1126. Tsay, R.S. (1986), “Nonlinearity Tests for Time Series”, Biometrika, 73: 461-466. Zivot, E. and Andrews, D. (1992), “Further evidence of great crash, the oil price shock and unit root hypothesis”, Journal of Business and Economic Statistics, 10: 251-270.