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Dynamics of exchange rate changes: Bayesian forecasting with dynamic linear models - Softcover

Hrad, Thomas

 
9783639627831: Dynamics of exchange rate changes: Bayesian forecasting with dynamic linear models
Softcover
ISBN 10: 3639627830 ISBN 13: 9783639627831
Verlag: AV Akademikerverlag, 2014

Inhaltsangabe

The objective of this book is to empirically evaluate the parameters which drive exchange rate changes. The analysis will be performed with a dynamic linear model in a Bayesian framework. It will be demonstrated how to get from a static first order polynomial model to a dynamic regression model, incorporating the predictive parameters such as "purchasing power parity", "interest rate differentials" and "volatility index". Discussion will focus on how different currency pairs react on specific parameters. While analyzing data in the long-run as well as during the financial crisis from 2008-2009 it will become clear that specific parameters dominate specific business cycles. Putting all this information together the model will be compared to a simple trading strategy to show that using this model an investor can earn excess returns between 1.23% and 1.9% p.a.

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Über die Autorin bzw. den Autor

Thomas Hrad works as Group Financial Analyst for New Frontier Group in Vienna. He holds a Master's degree in Finance and Accounting from Vienna University of Economics and Business. His academic research focused on mechanisms that dominate exchange rates during different business cycles and was awarded with the CFA Society Austria prize.

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The objective of this book is to empirically evaluate the parameters which drive exchange rate changes. The analysis will be performed with a dynamic linear model in a Bayesian framework. It will be demonstrated how to get from a static first order polynomial model to a dynamic regression model, incorporating the predictive parameters such as ¿purchasing power parity¿, ¿interest rate differentials¿ and ¿volatility index¿. Discussion will focus on how different currency pairs react on specific parameters. While analyzing data in the long-run as well as during the financial crisis from 2008-2009 it will become clear that specific parameters dominate specific business cycles. Putting all this information together the model will be compared to a simple trading strategy to show that using this model an investor can earn excess returns between 1.23% and 1.9% p.a.

„Über diesen Titel“ kann sich auf eine andere Ausgabe dieses Titels beziehen.

Verlag
AV Akademikerverlag
Erscheinungsdatum
2014
Sprache
Englisch
ISBN 10 
3639627830
ISBN 13 
9783639627831
Einband
Taschenbuch
Anzahl der Seiten
80
Kontakt zum Hersteller
Nicht verfügbar
Verantwortliche Person
Verlag Unser Wissen
customerservice@vdm-vsg.de

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