A note on the performance of foreign exchange forecasters in a portfolio framework

Article Abstract:

Twenty-two currency forecasters are examined on their ability to predict movements in three major exchange rates. The profitability of portfolios of forward market positions based on the predictions of each forecaster is analyzed. Results of the study show that it is profitable to follow just one panel member. It is concluded that most of the currency analysts are not fully capable in predicting the future.

Research, Forecasts and trends, Securities, Foreign exchange, Economic forecasting

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A note on an interest rate immunization strategy

Article Abstract:

A technique for insuring investments in fixed interest stocks and bonds against depreciation is presented. The Ball-Torous bond option pricing model is modified to include transactions costs. The technique developed is a function of the time period between rebalancing and the round trip transaction costs. Adjustments are made through the variance and covariance terms.

Methods, Finance, Stocks, Investments, Interest rates

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Another look on bond market seasonability: a note

Article Abstract:

Using as evidence that bond return series exhibit time-varying heteroskedasticity and seasonabilities in average monthly returns in fixed income securities, this note provides evidence on bond returns as a mixture of stable distributions.

United States, Statistical Data Included, Analysis, Reports, Business cycles, Bond repurchasing

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