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Exchange Rate Prediction with Machine Learning and a Smart Carry Portfolio
Filippou, Ilias - 2020
We establish the out-of-sample predictability of monthly exchange rate changes via machine learning techniques based on 70 predictors capturing country characteristics, global variables, and their interactions. To guard against overfitting, we use the elastic net to estimate a high-dimensional...
Persistent link: https://www.econbiz.de/10012847704
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Currency futures' risk premia and risk factors
Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - 2020
The use of futures exchange contracts instead of forwards completes the maturity spectrum of the correlation between … of the futures contract and the choice of sampling period. The FFP appears to be a pre-crisis phenomenon and is only … observed for maturities longer than about one month. When examining whether the observed excess returns of futures contracts …
Persistent link: https://www.econbiz.de/10012209529
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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 …
Persistent link: https://www.econbiz.de/10010410031
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Forecasting exchange rates : an investor perspective
Melvin, Michael; Prins, John; Shand, Duncan - 2013
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....
Persistent link: https://www.econbiz.de/10009743826
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The Parametrization of an International Equity Portfolio : A Decomposition of Global Momentum Returns
Reschenhofer, Christoph - 2018
Using a parametric portfolio optimization approach, I show how international momentum strategies can be significantly improved by decomposing global momentum returns. The parametrization models the optimal portfolio weights as a function of the decomposed components and overweights equity...
Persistent link: https://www.econbiz.de/10012915065
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Carry Trade Strategies with Factor Augmented Macro Fundamentals : A Dynamic Markov-Switching Factor Model
Ogruk-Maz, Gokcen - 2017
This paper evaluates the performance of carry trade strategies with macro fundamentals in a Markov switching dynamic factor augmented regression framework and compares the performance statistics with the benchmark model of a random walk and momentum strategy. I make simulations with the Japanese...
Persistent link: https://www.econbiz.de/10012963675
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Time-series momentum : a Monte-Carlo approach
Cheng, Enoch; Struck, Clemens - 2019
-asset class futures portfolio. The simulations reveal a probability distribution which shows that strategies that outperform Buy …
Persistent link: https://www.econbiz.de/10011990919
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Linking net foreign portfolio debt and equity to exchange rate movements
Gardberg, Malin - 2018
Many currencies, especially those of countries with negative net foreign assets, tend to depreciate during times of financial turbulence. Using a panel of 26 currencies over the period 1/1997 - 6/2016, I show that the composition of net foreign assets matter for the exchange rate sensitivity to...
Persistent link: https://www.econbiz.de/10011926196
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International Stock Return Predictability : The Role of U.S. Volatility Risk
Deng, Yizhe; Jiang, Fuwei; Wang, Yunqi; Zhou, Ti - 2022
This paper studies the intertemporal relation between U.S. volatility risk and international equity risk premia. We show that a common volatility risk factor constructed from the option-implied U.S. forward variances positively and significantly predicts future stock market returns of the...
Persistent link: https://www.econbiz.de/10014236052
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Applications in computational finance with a focus on approximation of financial time series by neurocomputing
Spreckelsen, Christian von - 2014
Persistent link: https://www.econbiz.de/10010511665