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The profitability of currency speculation
Bilson, John F. O.; Hsieh, David A. - In: International Journal of Forecasting 3 (1987) 1, pp. 115-130
Persistent link: https://www.econbiz.de/10005418667
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The Profitability of Currency Speculation
Bilson, John F. O.; Hsieh, David A. - National Bureau of Economic Research (NBER) - 1983
This paper presents the results of a post-sample simulation of a speculative strategy using a portfolio of foreign currency forward contracts.The main new features of the speculative strategy are (a)the use of Kalman filters to update the forecasting equation, (b) the allowance for...
Persistent link: https://www.econbiz.de/10005778585
Cover Image
The profitability of currency speculation
Bilson, John F. - In: International journal of forecasting 3 (1987) 1, pp. 115-130
Persistent link: https://www.econbiz.de/10001034070
Cover Image
The profitability of currency speculation
Bilson, John F. O.; Hsieh, David A. - 1983
Persistent link: https://www.econbiz.de/10001907411
Cover Image
The Profitability of Currency Speculation
Bilson, John F. O. - 1983
This paper presents the results of a post-sample simulation of a speculative strategy using a portfolio of foreign currency forward contracts.The main new features of the speculative strategy are (a)the use of Kalman filters to update the forecasting equation, (b) the allowance for...
Persistent link: https://www.econbiz.de/10012477902
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The Profitability of Currency Speculation
Bilson, John F. O. - 2000
This paper presents the results of a post-sample simulation of a speculative strategy using a portfolio of foreign currency forward contracts.The main new features of the speculative strategy are (a)the use of Kalman filters to update the forecasting equation, (b) the allowance for...
Persistent link: https://www.econbiz.de/10012788637