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High Frequency Exchange Rate Forecasting

Abstract

The Stochastics

Data Sources and Preliminary Statistics

Structural Econometric Modelling

Cointegration and the Stochastics

Structural Econometric Forecasting Models

Out-of-Sample Forecasting Results

Assessing the profitability of the forecasting models

Profitability

Buy & Hold

Risk Adjustment

Conclusion

Appendix

Bibliography

Books

High Frequency Exchange Rate Forecasting

Bibliography

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Prof. Ronald MacDonald, Prof. Norbert Fiess

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