In this paper I explore the informational content in cross-currency flow maintained by large custodian banks with an objective to design a statistical arbitrage trading system that could exploit such information. After an initial simple test involving one-step ahead forecasts for JPYUSD FX pair...

Rapach et al. (2013) have recently shown that U.S. equity market returns carry valuable information to improve return forecasts in global equity markets. In this study, we extend the work of Rapach et al. (2013) and examine if U.S. based equity market information can be used to improve realized...

We identify a U.S.-driven factor using a monthly panel of fifteen bilateral exchange rates against the U.S. dollar since 1999. We find this factor is closely related to nominal and real macroeconomic variables, as well as financial market variables from the U.S. Using this factor alone, we show...

Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...

Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...

Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...

Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management.The recent availability of high-frequency data allows for refined methods in this field.In particular, more precise measures for the daily or lower frequency volatility can be...

We propose new scoring rules based on partial likelihood for assessing the relative out-of-sample predictive accuracy of competing density forecasts over a specific region of interest, such as the left tail in financial risk management. By construction, existing scoring rules based on weighted...

We propose a theoretical framework for assessing whether a forecast model estimated over one period can provide good forecasts over a subsequent period. We formalize this idea by defining a forecast breakdown as a situation in which the out-of-sample performance of the model, judged by some loss...

We evaluate various models' relative performance in forecasting future US output growth and inflation on a monthly basis. Our approach takes into account the possibility that the models' relative performance can be varying over time. We show that the models' relative performance has, in fact,...