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Could Markets Have Helped Predict the Puzzling Exchange Rate Path in CESEE Countries during the Current Crisis?
Cuaresma, Jesús Crespo; Slacík, Tomáš - In: Focus on European Economic Integration (2010) 1, pp. 32-48
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 …
Persistent link: https://www.econbiz.de/10008623562
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Global Financial Crisis and the Puzzling Exchange Rate Path in CEE Countries
Cuaresma, Jesús Crespo; Gersl, Adam; Slačík, Tomáš - Institut ekonomických studií, Univerzita Karlova v Praze - 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 …
Persistent link: https://www.econbiz.de/10008678219
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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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Can We Beat the Random Walk? The Case of Survey-Based Exchange Rate Forecasts in Chile
Pincheira, Pablo M. - 2018
We examine the accuracy of survey-based expectations of the Chilean exchange rate relative to the US dollar. Our out-of-sample analysis reveals that survey-based forecasts outperform the Driftless Random Walk (DRW) in terms of Mean Squared Prediction Error at several forecasting horizons. This...
Persistent link: https://www.econbiz.de/10012906841
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Exchange rate and oil price interactions in selected CEE countries
Drachal, Krzysztof - In: Economies : open access journal 6 (2018) 2, pp. 1-21
This paper reports a study on the causal dynamics between spot oil price, exchange rates, and stock prices in Poland, the Czech Republic, Hungary, Romania, and Serbia. The results are compared with a benchmark analysis in which U.S. monthly data are used, and time periods are selected according...
Persistent link: https://www.econbiz.de/10011854772
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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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A Gaussian Mixture Hidden Markov Model for the VIX
Aigner, Andreas A. - 2023
A Hidden Markov Model (HMM) is used to model the VIX (the Cboe Volatility Index). A 4- state Gaussian mixture is fitted to the VIX price history from 1990 to 2022. Using a growing window of training data, the price of the S&P500 is predicted and two trading algorithms are presented, based on the...
Persistent link: https://www.econbiz.de/10014356167
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Multivariate Volatility Models : An Application to IBOVESPA and Dow Jones Industrial
Achcar, Jorge - 2012
In this paper, we present a brief description of multivariate GARCH models. Usually, their parameter estimates are obtained using maximum likelihood methods. Considering new methodological processes to model the volatilities of time series, we need to use another inference approach to get...
Persistent link: https://www.econbiz.de/10013099873
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Multivariate Volatility Models : An Application to IBOVESPA and Dow Jones Industrial
Achcar, Jorge - 2012
In this paper, we present a brief description of multivariate GARCH models. Usually, their parameter estimates are obtained using maximum likelihood methods. Considering new methodological processes to model the volatilities of time series, we need to use another inference approach to get...
Persistent link: https://www.econbiz.de/10013101092
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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