Forecasting foreign exchange rates using high frequency data
Type Research Project
Duration May 1, 1999 - June 30, 2002
- Operations Research AE (Former organization)
Tags
Press 'enter' for creating the tag- Geyer, Alois (Details) Project Head
- Trapletti, Adrian (Former researcher)
Abstract (English)
We use high frequency (intraday) data of the USD-JPY, USD-DEM and JPY-DEM exchange rates. Out-of-sample forecasts can be improved over the naive martingale if the seasonality introduced by market activities and the cointegration relationship between the triangle of exchange rates is taken into account. <br>Cointegration analysis
Publications
Journal article
| 2002 | Trapletti, Adrian, Geyer, Alois, Leisch, Friedrich. 2002. Forecasting Exchange Rates using Cointegration Models and Intra-day Data. Journal of Forecasting, 21, 151-166 | (Details) |