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Global financial crisis and the puzzling exchange rate path in CEE countries
Crespo Cuaresma, Jesús; Geršl, Adam; Slačík, Tomáš - 2010
financial crisis. To this end, we derive risk-neutral densities from the implied volatilities of FX options, which approximate …-of-sample predictive power of indicators. The forecasting results suggest that models based on FX options are inferior to the random walk … change of the exchange rate. -- Options ; implied volatility ; risk-neutral density ; exchange rate forecasting ; Bayesian …
Persistent link: https://www.econbiz.de/10008689001
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Foreign exchange predictability during the financial crisis : implications for carry trade profitability
Anatolyev, Stanislav; Gospodinov, Nikolaj; Jamali, Ibrahim - 2015
In this paper, we study the effectiveness of carry trade strategies during and after the financial crisis using a flexible approach to modeling currency returns. We decompose the currency returns into multiplicative sign and absolute return components, which exhibit much greater predictability...
Persistent link: https://www.econbiz.de/10011313235
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Quantifying reflexivity in financial markets : towards a prediction of flash crashes
Filimonov, Vladimir; Sornette, Didier - 2012
We introduce a new measure of activity of financial markets that provides a direct access to their level of endogeneity. This measure quantifies how much of price changes are due to endogenous feedback processes, as opposed to exogenous news. For this, we calibrate the self-excited conditional...
Persistent link: https://www.econbiz.de/10009561617
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The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
Busch, Thomas; Christensen, Bent Jesper; Nielsen, … - 2008
, predictable, and options appear calibrated to incorporate information about future jumps in all three markets. …
Persistent link: https://www.econbiz.de/10010290353
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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/10010312861
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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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Information flows around the globe : predicting opening gaps from overnight foreign stock price patterns
Gooijer, Jan G. de; Diks, Cees G. H.; Gatarek, Lukasz T. - 2009
This paper describes a forecasting exercise of close-to-open returns on major global stock indices, based on price patterns from foreign markets that have become available overnight. As the close-to-open gap is a scalar response variable to a functional variable, it is natural to focus on...
Persistent link: https://www.econbiz.de/10011379456
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Point, interval and density forecasts of exchange rates with time-varying parameter models
Abbate, Angela; Marcellino, Massimiliano - 2016
We explore whether modelling parameter time variation improves the point, interval and density forecasts of nine major exchange rates vis-a-vis the US dollar over the period 1976-2015. We find that modelling parameter time variation is needed for an accurate calibration of forecast confidence...
Persistent link: https://www.econbiz.de/10011489395
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Foreign exchange predictability during the financial crisis: Implications for carry trade profitability
Anatolyev, Stanislav; Gospodinov, Nikolay; Jamali, Ibrahim - 2015
In this paper, we study the effectiveness of carry trade strategies during and after the financial crisis using a flexible approach to modeling currency returns. We decompose the currency returns into multiplicative sign and absolute return components, which exhibit much greater predictability...
Persistent link: https://www.econbiz.de/10011460619
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Censored Posterior and Predictive Likelihood in Bayesian Left-Tail Prediction for Accurate Value at Risk Estimation
Gatarek, Lukasz; Hoogerheide, Lennart; Hooning, Koen; … - 2013
Accurate prediction of risk measures such as Value at Risk (VaR) and Expected Shortfall (ES) requires precise estimation of the tail of the predictive distribution. Two novel concepts are introduced that offer a specific focus on this part of the predictive density: the censored posterior, a...
Persistent link: https://www.econbiz.de/10010326148