๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Beating the foreign exchange market

โœ Scribed by Sweeney R.J.


Book ID
127438638
Year
1986
Tongue
English
Weight
2 MB
Category
Library

No coin nor oath required. For personal study only.

โœฆ Synopsis


Filter rule profits found in foreign exchange markets in the early days of the current managed float persist in later periods, as shown by statistical tests developed and implemented here. The test is consistent with, but independent of, a wide variety of asset pricing models. The profits found cannot be explained by risk if risk premia are constant over time. Inclusion of the home-foreign interest rate differential in computing profits has little effect on the comparison of filter returns to those of buy-and-hold.


๐Ÿ“œ SIMILAR VOLUMES


Experimental Foreign Exchange Markets
โœ Eric Oโ€™N. Fisher; Frank S. Kelly ๐Ÿ“‚ Article ๐Ÿ“… 2000 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 542 KB