| 来源类型 | Article |
| 规范类型 | 其他 |
| DOI | 10.1002/for.2518 |
| Exchange rate forecasting and the performance of currency portfolios. | |
| Crespo Cuaresma J; Fortin I; Hlouskova J | |
| 发表日期 | 2018 |
| 出处 | Journal of Forecasting 37 (5): 519-540 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We examine the potential gains of using exchange rate forecast models and forecast combination methods in the management of currency portfolios for three exchange rates: the euro versus the US dollar, the British pound, and the Japanese yen. We use a battery of econometric specifications to evaluate whether optimal currency portfolios implied by trading strategies based on exchange rate forecasts outperform single currencies and the equally weighted portfolio. We assess the differences in profitability of optimal currency portfolios for different types of investor preferences, two trading strategies, mean squared error‐based composite forecasts, and different forecast horizons. Our results indicate that there are clear benefits of integrating exchange rate forecasts from state‐of‐the‐art econometric models in currency portfolios. These benefits vary across investor preferences and prediction horizons but are rather similar across trading strategies. |
| 主题 | World Population (POP) |
| 关键词 | currency portfolios, exchange rate forecasting, profitability, trading strategies |
| URL | http://pure.iiasa.ac.at/id/eprint/15190/ |
| 来源智库 | International Institute for Applied Systems Analysis (Austria) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/131234 |
| 推荐引用方式 GB/T 7714 | Crespo Cuaresma J,Fortin I,Hlouskova J. Exchange rate forecasting and the performance of currency portfolios.. 2018. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| Cuaresma_et_al-2016-（858KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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