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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

Ronald MacDonald, Prof. Norbert Fiess:

High Frequency Exchange Rate Forecasting

Keywords:Analisi Tecnica Avanzata ; Exchange Rates; Forecasting; Modelli Econometrici

In this paper we examine a different kind of technical indicator which suggests a structural relationship between High, Low and Close prices of daily exchange rates. Since, for a given exchange rate, it can be shown that these prices have different time series properties, it is possible to explore the structural relationships between them using multivariate

By Prof. Ronald MacDonald, Prof. Norbert Fiess

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