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- W43939534 abstract "A cointegration analysis on a triangle of high frequency exchange rates is presented. Market efficiency requires the triangle to be cointegrated and the cointegration term to be a martingale difference sequence. We find empirical evidence against market efficiency for very short time horizons: The cointegration term does not behave like a martingale difference sequence. In an out-of-sample forecasting study the cointegrated vector autoregressive (VAR) model is found to be superior to the naive martingale. Finally, a simple trading strategy shows that the VAR also has a significant forecast value in economic terms even after accounting for transaction costs. (author's abstract)" @default.
- W43939534 created "2016-06-24" @default.
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- W43939534 date "1999-01-01" @default.
- W43939534 modified "2023-09-27" @default.
- W43939534 title "Cointegration and exchange market efficiency. An analysis of high frequency data." @default.
- W43939534 hasPublicationYear "1999" @default.
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