Dynamics of exchange rate changes : Bayesian forecasting with dynamic linear models

Language: English

Published by AV Akademikerverlag, 2014

3639627830 / 9783639627831

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Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH

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nach der Bestellung gedruckt Neuware - Printed after ordering - The objective of this book is to empirically evaluate the parameters which drive exchange rate changes. The analysis will be performed with a dynamic linear model in a Bayesian framework. It will be demonstrated how to get from a static first order polynomial model to a dynamic regression model, incorporating the predictive parameters such as 'purchasing power parity', 'interest rate differentials' and 'volatility index'. Discussion will focus on how different currency pairs react on specific parameters. While analyzing data in the long-run as well as during the financial crisis from 2008-2009 it will become clear that specific parameters dominate specific business cycles. Putting all this information together the model will be compared to a simple trading strategy to show that using this model an investor can earn excess returns between 1.23% and 1.9% p.a.

Seller Inventory # 9783639627831

Title
Dynamics of exchange rate changes : Bayesian forecasting with dynamic linear models
Author
Thomas Hrad
Publisher
AV Akademikerverlag
Publication year
2014
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3639627830
ISBN 13
9783639627831
Item weight
137 grams
Dimensions
220x150x5 mm

AHA-BUCH GmbH

Einbeck, Germany

5-star seller

AbeBooks seller since August 14, 2006

Shipping rates from Germany to U.S.A.

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represented by the managing director Christel Glass
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