Histogram-based prediction of directional price relatives

A model of directional prediction of price relatives is proposed following the histogram-based scheme developed in Györfi et al. (2006). This methodology allows us to exploit potential information contained in multivariate series of price relatives. The impact of the model is studied from the perspective of an economic agent through the use of double linear loss functions. A numerical example with real data is presented to illustrate the model.

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Year of publication:	2013
Authors:	Roch, Oriol
Published in:	Finance Research Letters. - Elsevier, ISSN 1544-6123. - Vol. 10.2013, 3, p. 110-115
Publisher:	Elsevier
Subject:	Directional prediction \| Return sign dependence \| Asymmetric loss \| Exchange rates

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Type of publication:	Article
Classification:	G17 - Financial Forecasting
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011065840