Related papers: Exchange Rate Predictability in a Changing World
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Intuitively, the default risk of a single borrower is higher when her or his assets and debt are denominated in different currencies. Additionally, the default dependence of borrowers with assets and debt in different currencies should be…
This paper proposes an exchange rate forecasting method by using the grey relative combination approach of chaos wavelet SVM-Markov model. The problem of short-term forecast of exchange rate by using the comprehensive method of the phase…
Accurate exchange rate prediction is fundamental to financial stability and international trade, positioning it as a critical focus in economic and financial research. Traditional forecasting models often falter when addressing the inherent…
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Stein's method of exchangeable pairs is examined through five examples in relation to Poisson and normal distribution approximation. In particular, in the case where the exchangeable pair is constructed from a reversible Markov chain, we…
Change points in real-world systems mark significant regime shifts in system dynamics, possibly triggered by exogenous or endogenous factors. These points define regimes for the time evolution of the system and are crucial for understanding…
This paper presents the way in which can be determined the exchange rates that simultaneously balance the trade balances of all countries that trade with each other within a common market. A mathematical synthesis between the theory of…
Nowadays, with the availability of massive amount of trade data collected, the dynamics of the financial markets pose both a challenge and an opportunity for high frequency traders. In order to take advantage of the rapid, subtle movement…
This paper presents a novel machine learning approach to GDP prediction that incorporates volatility as a model weight. The proposed method is specifically designed to identify and select the most relevant macroeconomic variables for…
Exchangeability is a central notion in statistics and probability theory. The assumption that an infinite sequence of data points is exchangeable is at the core of Bayesian statistics. However, finite exchangeability as a statistical…
The article is concerned with the problem of multi-step financial time series forecasting of Foreign Exchange (FX) rates. To address this problem, we introduce a regression network termed RegPred Net. The exchange rate to forecast is…
We present a stochastic analysis of a data set consisiting of 10^6 quotes of the US Doller - German Mark exchange rate. Evidence is given that the price changes x(tau) upon different delay times tau can be described as a Markov process…
This paper presents static and dynamic versions of univariate, multivariate, and multilevel functional time-series methods to forecast implied volatility surfaces in foreign exchange markets. We find that dynamic functional principal…
In inference problems involving a multi-dimensional parameter $\theta$, it is often natural to consider decision rules that have a risk which is invariant under some group $G$ of permutations of $\theta$. We show that this implies that the…