Related papers: Exchange Rate Predictability in a Changing World
Monitoring downside risk and upside risk to the key macroeconomic indicators is critical for effective policymaking aimed at maintaining economic stability. In this paper I propose a parametric framework for modelling and forecasting…
Stable laws can be tempered by modifying the L\'evy measure to cool the probability of large jumps. Tempered stable laws retain their signature power law behavior at infinity, and infinite divisibility. This paper develops random walk…
Inflation is a major determinant for allocation decisions and its forecast is a fundamental aim of governments and central banks. However, forecasting inflation is not a trivial task, as its prediction relies on low frequency, highly…
In this paper we forecast daily returns of crypto-currencies using a wide variety of different econometric models. To capture salient features commonly observed in financial time series like rapid changes in the conditional variance,…
Specialized topics on financial data analysis from a numerical and physical point of view are discussed. They pertain to the analysis of crash prediction in stock market indices and to the persistence or not of coherent and random sequences…
We extend conformal prediction methodology beyond the case of exchangeable data. In particular, we show that a weighted version of conformal prediction can be used to compute distribution-free prediction intervals for problems in which the…
This paper presents a new parameter estimation algorithm for the adaptive control of a class of time-varying plants. The main feature of this algorithm is a matrix of time-varying learning rates, which enables parameter estimation error…
This paper presents a continuous-time model of intraday trading, pricing, and liquidity with dynamic TWAP and VWAP benchmarks. The model is solved in closed-form for the competitive equilibrium and also for non-price-taking equilibria. The…
The cross-correlations between the exchange rate fluctuations of 74 currencies over the period 1995-2012 are analyzed in this paper. The eigenvalue distribution of the cross-correlation matrix exhibits a bulk which approximately matches the…
Shrinkage for time-varying parameter (TVP) models is investigated within a Bayesian framework, with the aim to automatically reduce time-varying parameters to static ones, if the model is overfitting. This is achieved through placing the…
Time-varying parameter (TVP) models have the potential to be over-parameterized, particularly when the number of variables in the model is large. Global-local priors are increasingly used to induce shrinkage in such models. But the…
Relational arrays represent measures of association between pairs of actors, often in varied contexts or over time. Trade flows between countries, financial transactions between individuals, contact frequencies between school children in…
We study trajectory forecasting under squared loss for time series with weak conditional structure, using highly expressive prediction models. Building on the classical characterization of squared-loss risk minimization, we emphasize…
The Efficient Market Hypothesis (EMH) is widely accepted to hold true under certain assumptions. One of its implications is that the prediction of stock prices at least in the short run cannot outperform the random walk model. Yet, recently…
This paper studies Markov-switching (MS) models with time-varying transition probabilities (TVTP) under various specifications of the transition probability matrix. Especially, we extend the two-regime common-variance setting of the…
In this paper, we investigate the effectiveness of conventional and unconventional monetary policy measures by the European Central Bank (ECB) conditional on the prevailing level of uncertainty. To obtain exogenous variation in central bank…
Taylor's law quantifies the scaling properties of the fluctuations of the number of innovations occurring in open systems. Urn based modelling schemes have already proven to be effective in modelling this complex behaviour. Here, we present…
There are many studies dealing with the analysis of similarity among currencies in foreign exchange market by using network analysis approach. In those studies, each currency is represented by a univariate time series of exchange rate…
The time dependence of the currency exchange rate K treated as a function of national dividend, investments and difference between total demand for a goods and supply is considered. To do this a proposed earlier general algorithm of…
One of the major issues studied in finance that has always intrigued, both scholars and practitioners, and to which no unified theory has yet been discovered, is the reason why prices move over time. Since there are several well-known…