Nonlinear analysis for forecasting currencies: are they useful to the portfolio manager?

Foort Hamelink

The European Journal of Finance, 2001, vol. 7, issue 4, 335-355

Abstract: The importance of a time-varying specification for both the return and the risk of financial assets is well known. The purpose of this study is to investigate if some of the most recently developed econometric models, combined with technical indicators often used by practitioners, can significantly predict future returns. While most studies have focused on either univariate series or in-sample analyses of a given econometric specification, this study considers a multivariate framework where a US based investor daily reallocates a portfolio of three currencies (Deutschmark, Swiss Franc and Japanese Yen). Series of three years out-of-sample forecasts are analysed in terms of risk and return and it is shown that some of the tested speciications can indeed signiicantly predict future daily returns and correlations over this three-year period.

Keywords: Time-VARYING Specification Financial Assets Econometric Models Technical Indicators Future Returns Multivariate Framework (search for similar items in EconPapers)
Date: 2001
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/13518470110071146 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:eurjfi:v:7:y:2001:i:4:p:335-355

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/REJF20

DOI: 10.1080/13518470110071146

Access Statistics for this article

The European Journal of Finance is currently edited by Chris Adcock

More articles in The European Journal of Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().