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Forecast in Capital Markets
Ledenyov, Dimitri - 2016
Persistent link: https://www.econbiz.de/10012987861
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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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Yield Curve Predictors of Foreign Exchange Returns
Ang, Andrew - 2011
In a no-arbitrage framework, any variable that affects the pricing of the domestic yield curve has the potential to predict foreign exchange risk premiums. The most widely used interest rate predictor is the difference in short rates across countries, known as carry, but the short rate is only...
Persistent link: https://www.econbiz.de/10013133966
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Time Series Properties and Predictability of Pak Rupee/US Dollar Exchange Rate
Suleman, Muhammad Tahir - 2012
This paper investigate the time series properties and predictability of daily percentage changes in the Pakistani rupee exchange rate with respect to the currencies of major trading partner country USA. The daily data is used for the time period of October 1988 to April 2012. In this study, we...
Persistent link: https://www.econbiz.de/10013107625
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The Quanto Theory of Exchange Rates
Kremens, Lukas - 2017
We present a new, theoretically motivated, forecasting variable for exchange rates that is based on the prices of quanto index contracts, and show via panel regressions that the quanto forecast variable is a statistically and economically significant predictor of currency appreciation. We also...
Persistent link: https://www.econbiz.de/10012958740
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Rationality and Forecasting Accuracy of Exchange Rate Expectations : Evidence from Survey-Based Forecasts
Ince, Onur - 2019
We examine rationality, forecasting accuracy, and economic value of the survey-based exchange rate forecasts for 10 developed and 23 developing countries at the 3-, 12-, and 24-month horizons. Using the data from two surveys for the period from 2004 to 2012, we find strong evidence that the...
Persistent link: https://www.econbiz.de/10012903718
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Foreign Exchange Return Predictability : Rational Expectations Risk Premium vs. Expectational Errors
Moon, Seongman - 2019
We propose a simple identification scheme for the causes of the violations of uncovered interest parity. Our method uses the serial dependence patterns of excess returns as a criterion for judging performance of economic models. We show that a mean reverting component in excess returns,...
Persistent link: https://www.econbiz.de/10012895804
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Exchange Rate Predictability and Dynamic Bayesian Learning
Beckmann, Joscha - 2019
This paper considers how an investor in the foreign exchange market can exploit predictive information by means of flexible Bayesian inference. Using a variety of different vector autoregressive models, the investor is able, each period, to revise past predictive mistakes and learn about...
Persistent link: https://www.econbiz.de/10012897719
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Unemployment Fluctuations and the Predictability of Currency Returns
Nucera, Federico - 2017
We investigate whether unemployment fluctuations generate predictability in the cross-section of currency excess returns. We find that currencies with lower growth in the unemployment rate appreciate while currencies with higher growth in the unemployment rate depreciate. As a result, an...
Persistent link: https://www.econbiz.de/10012971272
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Wave Function Method to Forecast Foreign Currencies Exchange Rates at Ultra High Frequency Electronic Trading in Foreign Currencies Exchange Markets
Ledenyov, Dimitri - 2015
exchange rates dynamics in the foreign currencies exchange markets in the classic finances theory; 3) the description on the … theory; 4) the derivation of the time dependent/time independent wave equation in the quantum finances theory; 5) the …/time independent wave equation in the quantum finances theory; 6) the discussion on the developed software program with the embedded …
Persistent link: https://www.econbiz.de/10013013057