Potì, Valerio; Levich, Richard M.; Pattitoni, Pierpaolo; … - In: International Review of Financial Analysis 33 (2014) C, pp. 117-129
This paper studies currency predictability over time. We assess predictability by testing for the presence of …-period Sharpe ratio. Our results show that currency predictability is time-varying and, for a number of currencies, has increased …