Matches in SemOpenAlex for { <https://semopenalex.org/work/W2583989702> ?p ?o ?g. }
Showing items 1 to 89 of
89
with 100 items per page.
- W2583989702 abstract "This thesis investigates three issues related to foreign exchange market. The fist issue is whether commodity prices can beat random walk benchmark by generating more accurate out-of-sample forecasts. The empirical results show that contemporaneous prices outperform the random walk at the daily frequency, however, this predictive ability disappears for monthly data. Using lagged commodity prices, we show that integrating the whole set of commodities into one large model or equally combining forecasts generated by each commodity individually improves the accuracy of the forecasts, implying outperforming the driftless random walk benchmark.The second issue is the profitability of technical trading rules in foreign exchange market and whether it is consistent with the efficient market hypothesis. The results support profitability of trading rules for different currencies. However, to determine whether one could consistently speculate in the market, we perform a persistence analysis. We construct a portfolio of outperforming rules for each currency at the end of each month and use the selected rules in the following month. These results indicate that profitability of technical trading rules are purely due to luck.The final issue is the performance of technical analysis and fundamental analysis in forecasting exchange rates. Due to parameter instability, the focus is on local forecasting performance of technical and economic models. We select models with the best performance based on three different criteria on a monthly basis and use them to generate forecasts for the next period. Our results show that if forecasts generated by selected technical and economic models are combined with equal weight, the random walk is beaten by all three criteria. These results underline the importance of considering both fundamental and technical factors in forecasting exchange rates." @default.
- W2583989702 created "2017-02-10" @default.
- W2583989702 creator A5005557304 @default.
- W2583989702 date "2016-12-19" @default.
- W2583989702 modified "2023-09-24" @default.
- W2583989702 title "Essays in international finance" @default.
- W2583989702 hasPublicationYear "2016" @default.
- W2583989702 type Work @default.
- W2583989702 sameAs 2583989702 @default.
- W2583989702 citedByCount "0" @default.
- W2583989702 crossrefType "dissertation" @default.
- W2583989702 hasAuthorship W2583989702A5005557304 @default.
- W2583989702 hasConcept C10138342 @default.
- W2583989702 hasConcept C105795698 @default.
- W2583989702 hasConcept C106159729 @default.
- W2583989702 hasConcept C117245426 @default.
- W2583989702 hasConcept C121194460 @default.
- W2583989702 hasConcept C129361004 @default.
- W2583989702 hasConcept C131562839 @default.
- W2583989702 hasConcept C13280743 @default.
- W2583989702 hasConcept C139719470 @default.
- W2583989702 hasConcept C141121606 @default.
- W2583989702 hasConcept C149782125 @default.
- W2583989702 hasConcept C151730666 @default.
- W2583989702 hasConcept C162324750 @default.
- W2583989702 hasConcept C185798385 @default.
- W2583989702 hasConcept C186797051 @default.
- W2583989702 hasConcept C205649164 @default.
- W2583989702 hasConcept C2779343474 @default.
- W2583989702 hasConcept C2779439359 @default.
- W2583989702 hasConcept C2780299701 @default.
- W2583989702 hasConcept C2780821815 @default.
- W2583989702 hasConcept C33923547 @default.
- W2583989702 hasConcept C41008148 @default.
- W2583989702 hasConcept C46461501 @default.
- W2583989702 hasConcept C536366893 @default.
- W2583989702 hasConcept C86803240 @default.
- W2583989702 hasConceptScore W2583989702C10138342 @default.
- W2583989702 hasConceptScore W2583989702C105795698 @default.
- W2583989702 hasConceptScore W2583989702C106159729 @default.
- W2583989702 hasConceptScore W2583989702C117245426 @default.
- W2583989702 hasConceptScore W2583989702C121194460 @default.
- W2583989702 hasConceptScore W2583989702C129361004 @default.
- W2583989702 hasConceptScore W2583989702C131562839 @default.
- W2583989702 hasConceptScore W2583989702C13280743 @default.
- W2583989702 hasConceptScore W2583989702C139719470 @default.
- W2583989702 hasConceptScore W2583989702C141121606 @default.
- W2583989702 hasConceptScore W2583989702C149782125 @default.
- W2583989702 hasConceptScore W2583989702C151730666 @default.
- W2583989702 hasConceptScore W2583989702C162324750 @default.
- W2583989702 hasConceptScore W2583989702C185798385 @default.
- W2583989702 hasConceptScore W2583989702C186797051 @default.
- W2583989702 hasConceptScore W2583989702C205649164 @default.
- W2583989702 hasConceptScore W2583989702C2779343474 @default.
- W2583989702 hasConceptScore W2583989702C2779439359 @default.
- W2583989702 hasConceptScore W2583989702C2780299701 @default.
- W2583989702 hasConceptScore W2583989702C2780821815 @default.
- W2583989702 hasConceptScore W2583989702C33923547 @default.
- W2583989702 hasConceptScore W2583989702C41008148 @default.
- W2583989702 hasConceptScore W2583989702C46461501 @default.
- W2583989702 hasConceptScore W2583989702C536366893 @default.
- W2583989702 hasConceptScore W2583989702C86803240 @default.
- W2583989702 hasLocation W25839897021 @default.
- W2583989702 hasOpenAccess W2583989702 @default.
- W2583989702 hasPrimaryLocation W25839897021 @default.
- W2583989702 hasRelatedWork W1482940534 @default.
- W2583989702 hasRelatedWork W1497169338 @default.
- W2583989702 hasRelatedWork W1535536441 @default.
- W2583989702 hasRelatedWork W1587840577 @default.
- W2583989702 hasRelatedWork W1861797635 @default.
- W2583989702 hasRelatedWork W1963996563 @default.
- W2583989702 hasRelatedWork W1978119377 @default.
- W2583989702 hasRelatedWork W1987791470 @default.
- W2583989702 hasRelatedWork W1993130554 @default.
- W2583989702 hasRelatedWork W2000396064 @default.
- W2583989702 hasRelatedWork W2033134218 @default.
- W2583989702 hasRelatedWork W2099805867 @default.
- W2583989702 hasRelatedWork W2151107171 @default.
- W2583989702 hasRelatedWork W2175266053 @default.
- W2583989702 hasRelatedWork W2402917882 @default.
- W2583989702 hasRelatedWork W2924847636 @default.
- W2583989702 hasRelatedWork W2977613449 @default.
- W2583989702 hasRelatedWork W3124594538 @default.
- W2583989702 hasRelatedWork W3146477186 @default.
- W2583989702 hasRelatedWork W2247535116 @default.
- W2583989702 isParatext "false" @default.
- W2583989702 isRetracted "false" @default.
- W2583989702 magId "2583989702" @default.
- W2583989702 workType "dissertation" @default.