Crespo Cuaresma, Jesus, Hlouskova, Jaroslava, Fortin, Ines. 2018. Exchange rate forecasting and the performance of currency portfolios. Journal of Forecasting. 37 519-540.
BibTeX
Abstract
We examine the potential gains of using exchange rate forecast models and forecast combination methods in the management of currency portfolios for three exchange rates: the euro versus the US dollar, the British pound, and the Japanese yen. We use a battery of econometric specifications to evaluate whether optimal currency portfolios implied by trading strategies based on exchange rate forecasts outperform single currencies and the equally weighted portfolio. We assess the differences in profitability of optimal currency portfolios for different types of investor preferences, two trading strategies, mean squared error‐based composite forecasts, and different forecast horizons. Our results indicate that there are clear benefits of integrating exchange rate forecasts from state‐of‐the‐art econometric models in currency portfolios. These benefits vary across investor preferences and prediction horizons but are rather similar across trading strategies.
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Status of publication | Published |
---|---|
Affiliation | WU |
Type of publication | Journal article |
Journal | Journal of Forecasting |
Citation Index | SSCI |
WU Journalrating 2009 | A |
WU-Journal-Rating new | FIN-A, INF-A, MAR-B, STRAT-B, VW-D, WH-B |
Language | English |
Title | Exchange rate forecasting and the performance of currency portfolios |
Volume | 37 |
Year | 2018 |
Page from | 519 |
Page to | 540 |
Reviewed? | Y |
DOI | http://dx.doi.org/10.1002/for.2518 |
Open Access | Y |
Open Access Link | https://onlinelibrary.wiley.com/doi/full/10.1002/for.2518 |
Associations
- People
- Crespo Cuaresma, Jesus (Details)
- External
- Fortin, Ines (IHS, Austria)
- Hlouskova, Jaroslava (IHS, Austria)
- Organization
- Department of Economics (Crespo Cuaresma) (Details)
- Research Institute for Human Capital and Development
FI
(Former organization)
- Competence Center for Sustainability Transformation and Responsibility WE (Details)
- Research Institute for Cryptoeconomics FI (Details)