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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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Tests of excess forecast volatility in the foreign exchange and stock markets
Froot, Kenneth - 1987
Persistent link: https://www.econbiz.de/10009571466
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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 … general shape of the implied volatility function of the corresponding currency pair. Overall, we conclude that there is a …
Persistent link: https://www.econbiz.de/10010410031
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Uncertainty network risk and currency returns
Babiak, Mykola; Baruník, Jozef - 2021
Persistent link: https://www.econbiz.de/10012583340
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Forecasting volatility of commodity, currency, and stock markets : evidence from Markov switching multifractal models
Liu, Ruipeng; Segnon, Mawuli; Cepni, Oguzhan; Gupta, Rangan - 2023
Persistent link: https://www.econbiz.de/10014448138
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Can short-term foreign exchange volatility be predicted by the global hazard index?
Brousseau, Vincent - 2001
Persistent link: https://www.econbiz.de/10013434363
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The behaviour of betting and currency markets on the night of the EU referendum
Auld, Tom; Linton, Oliver - 2018
We study the behaviour of the Betfair betting market and the sterling/dollar exchange rate (futures price) during 24 June 2016, the night of the EU referendum. We investigate how the two markets responded to the announcement of the voting results. We employ a Bayesian updating methodology to...
Persistent link: https://www.econbiz.de/10011775074
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The behaviour of betting and currency markets on the night of the EU referendum
Auld, Tom; Linton, Oliver - 2018
Persistent link: https://www.econbiz.de/10012583380
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Predicting exchange rate volatility in Brazil : an approach using quantile autoregression
Viola, Alessandra Pasqualina; Klotzle, Marcelo Cabus; … - 2017
Persistent link: https://www.econbiz.de/10011944952
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Foreign exchange predictability during the financial crisis : implications for carry trade profitability
Anatolyev, Stanislav; Gospodinov, Nikolaj; Jamali, Ibrahim - 2015
returns. Our results suggest that the decomposition model produces higher forecast and directional accuracy than any of the … competing models. We show that the forecasting gains translate into economically and statistically significant (risk …
Persistent link: https://www.econbiz.de/10011313235