What determines exporters' exchange rate hedging decisions and do exporters attempt to “time the market”? We use a unique unit record longitudinal administrative dataset on firm exports to find the determinants of exporters' currency hedging choices. Determinants include financial fragility,...

While common machine learning algorithms focus on minimizing the mean-square errors of model fit, we show that genetic programming, GP, is well-suited to maximize an economic objective, the Sharpe ratio of the usual spread portfolio in the cross-section of expected stock returns. In contrast to...

Concerns about the fragility of the financial system caused by the OTC derivatives market has encouraged the increased use of counterparty risk mitigation techniques including the use of market compression. In this process groups of market participants share position information via a third...

The popular scholarly exercise of evaluating exchange rate forecasting models relative to a random walk was stimulated by the well-cited Meese and Rogoff (1983) paper. Practitioners who construct quantitative models for trading exchange rates approach forecasting from a different perspective....

This article studies optimal portfolio decisions with (long-term) liabilities for small-open economy based investors, including the optimality of currency hedging (Walker (2008a)). The representative investor is based in Chile, but results are likely to hold more generally. The problem is set up...

The contribution of this paper is twofold. First, we exploit copula methodology, with two threshold GARCH models as marginals, to construct a bivariate copula threshold GARCH model, simultaneously capturing asymmetric nonlinear behaviour in univariate stock returns of spot and futures markets...