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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

Summary:

•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

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