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Foreign exchange return predictability : rational expectations risk premium vs. expectational errors
Moon, Seongman - In: East Asian economic review 22 (2018) 4, pp. 467-505
Persistent link: https://www.econbiz.de/10011998656
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Exchange rate prediction with machine learning and a smart carry trade portfolio
Filippou, Ilias; Rapach, David E.; Taylor, Mark P.; … - 2020
Persistent link: https://www.econbiz.de/10012305708
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Speculator activity and the cross-asset predictability of FX returns
Hasselgren, Anton; Peltomäki, Jarkko; Graham, Michael - In: International review of financial analysis 72 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012437440
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Currency forecast errors and carry trades at times of low interest rates : evidence from survey data on the yen/dollar exchange rate
MacDonald, Ronald; Nagayasu, Jun - In: Journal of international money and finance 53 (2015), pp. 1-19
Persistent link: https://www.econbiz.de/10011475902
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Predicting foreign investors' carry trade activity in the Israeli FX market using a time-varying currency risk premium approach
Mantzura, Ariel; Shraiber, Bentsi - In: International review of economics & finance : IREF 59 (2019), pp. 438-457
Persistent link: https://www.econbiz.de/10012203257
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Beyond carry: the prospective interest rate differential and currency excess returns
Dong, Mengmeng; Goto, Shingo; Hou, Kewei; Yan, Xu; … - 2024
Persistent link: https://www.econbiz.de/10014475701
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Alternative long-horizon exchange-rate predictors
Chen, Jian - In: International journal of finance & economics : IJFE 1 (1996) 4, pp. 229-250
Persistent link: https://www.econbiz.de/10001211532
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The uncovered interest parity puzzle, exchange rate forecasting, and Taylor rules
Engel, Charles; Lee, Dohyeon; Liu, Chang; Liu, Chenxin; … - In: Journal of international money and finance 95 (2019), pp. 317-331
Persistent link: https://www.econbiz.de/10012137579
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Modeling and predictability of exchange rate changes by the extended relative Nelson-Siegel class of models
Ishii, Hokuto - In: International Journal of Financial Studies : open … 6 (2018) 3, pp. 1-15
This paper investigates the predictability of exchange rate changes by extracting the factors from the three-, four-, and five-factor model of the relative Nelson-Siegel class. Our empirical analysis shows that the relative spread factors are important for predicting future exchange rate...
Persistent link: https://www.econbiz.de/10011884108