Model-free evaluation of directional predictability in foreign exchange markets

We examine directional predictability in foreign exchange markets using a model-free statistical evaluation procedure. Based on a sample of foreign exchange spot rates and futures prices in six major currencies, we document strong evidence that the directions of foreign exchange returns are predicta...

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Veröffentlicht in:	Journal of applied econometrics (Chichester, England) England), 2007-08, Vol.22 (5), p.855-889
Hauptverfasser:	Chung, Jaehun, Hong, Yongmiao
Format:	Artikel
Sprache:	eng
Schlagworte:	Currency Economic forecasts Empirical evidence Financial research Forecasting models Foreign exchange Foreign exchange markets Foreign exchange rates Interest rates International capital market International finance Modeling Predictability Rates of return Skewed distribution Statistical analysis Statistical models Studies Volatility
Online-Zugang:	Volltext
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