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Regime-switching models for exchange rates

Panopulu, Aikaterinē; Pantelidis, Theologos - In: The European journal of finance 21 (2015) 10/12, pp. 1023-1069

Persistent link: https://www.econbiz.de/10011301934

Time-series momentum : a Monte-Carlo approach

Cheng, Enoch; Struck, Clemens - 2019

This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time-Series Momentum (TSM). Relying on time-series models, empirical residual distributions and copulas we overcome two key drawbacks of conventional backtesting procedures. We create...

Persistent link: https://www.econbiz.de/10011990919

Variance risk premiums in foreign exchange markets

Ammann, Manuel; Buesser, Ralf - 2013

Based on the theory of static replication of variance swaps we assess the sign and magnitude of variance risk premiums … general shape of the implied volatility function of the corresponding currency pair. Overall, we conclude that there is a …

Persistent link: https://www.econbiz.de/10010410031

Measuring High-Frequency Causality between Returns, Realized Volatility and Implied Volatility

Dufour, Jean-Marie - 2011

theory assumes that return shocks can be caused by changes in conditional volatility through a time-varying risk premium. On … leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and … implied volatility, and find that implied volatilities are essential for assessing the volatility feedback effect. The …

Persistent link: https://www.econbiz.de/10013128856

On the Properties of Regression Tests of Asset Return Predictability

Velasco, Carlos - 2011

This paper investigates, both in finite samples and asymptotically, statistical inference on predictive regressions where time series are generated by present value models of asset prices. We show that regression-based tests, including optimal robust tests such as Jasson and Moreira's...

Persistent link: https://www.econbiz.de/10013132892

Testing Nowcast Monotonicity with Estimated Factors

Fosten, Jack - 2018

parameter estimation error and factor estimation error can be accommodated in this high dimensional setting when using the …

Persistent link: https://www.econbiz.de/10012935807

How far can we forecast? : statistical tests of the predictive content

Breitung, Jörg; Knüppel, Malte - 2018

Forecasts are useless whenever the forecast error variance fails to be smaller than the unconditional variance of the target variable. This paper develops tests for the null hypothesis that forecasts become uninformative beyond some limiting forecast horizon h. Following Diebold and Mariano (DM,...