Ritschl and Wolf (2003) rely on an unusual variable for currency unions in their empirical analysis. In particular, their data set indicates that all the country-pairs listed below were considered to be in currency unions in the interwar period. Thus, according to Ritschl and Wolf, Austria and Bulgaria were in a currency union. Indeed, Austria was also in currency union with Czechoslovakia, Den...

Asset value forecasting has always attracted an enormous amount of interest among researchers in quantitative analysis. The advent modern machine learning models introduced new tools to tackle this classical problem. In paper, we apply algorithms hitherto unexplored question instances significant fluctuations currency exchange rates. We perform analysis nine using data on four major pairs over ...

1 We construct a statistical model for the term-structure of implied volatilities of currency options based on daily historical data for 13 currency pairs over a 19-month period. We examine the joint evolution of 1 month, 2 month, 3 month, 6 month and 1 year at-the-money (50) options in all the currency pairs. We show that there exist three uncorrelated state variables (principal components) wh...

This paper features an analysis of major currency exchange rate movements in relation to the US dollar, as constituted in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models, including smooth transition regression models, logistic smooth transition regressions models, threshold autoregressive models, nonlinear autoregressive mod...

This paper investigates the bivariate dependence structure for three pairs of exchange rates measured against the US dollar: Euro and Japanese yen, Euro and British pound, Euro and Swiss franc, over the period January 1994 to November 2007. The Deutsche mark (DM) is used for the pre-euro period. By using non-parametric plots and copula models estimated by semi-parametric methods, we are able to...

Due to the prospects for financial gain, forex is always attractive many people. However, because market analysis not simple, a computer needed assist in creating predictions using features that are understandable This study employs Multilinear Regression technique identify these kinds of features. The and prediction target have very strong correlation. With low RMSE high R square, quality quit...

The Basel 2 Accord requires regulatory capital to cover stress tests, yet no coherent and objective framework for stress testing portfolios exists. We propose a new methodology for stress testing in the context of market risk models that can incorporate both volatility clustering and heavy tails. Empirical results compare the performance of eight risk models with four possible conditional and u...

This paper focuses on the theory of uncovered interest rate parity and whether interest-rate differentials have resulted in the higher interest rate currency depreciating over time. Previous literature has empirically rejected the theory indicating that higher interest rate currencies have actually appreciated relative to lower interest rate currencies. In this paper, uncovered interest rate pa...