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Succes and Failure of Technical Trading Strategies in the Cocoa Futures Markets
Boswijk, H.P.; Griffioen, G.A.W.; Hommes, C.H. - Center for Nonlinear Dynamics in Economics and Finance … - 2000
A large set of 5350 trend following technical trading rules is applied to LIFFE and CSCE cocoa futures prices, and to the Pound-Dollar exchange rate, in the period 1983:1 - 1997:6. We find that 72% of the trading rules generates positive profits, even when correcting for transaction and...
Persistent link: https://www.econbiz.de/10005581871
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Speculation, Exchange Rate Volatility and Welfare.
Ljungqvist, L. - Wisconsin Madison - Social Systems - 1991
Persistent link: https://www.econbiz.de/10005443396
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Technical Trading Rules and Regime Shifts in Foreign Exchange.
LeBaron, B. - Wisconsin Madison - Social Systems - 1991
Persistent link: https://www.econbiz.de/10005443426
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The Predictive Ability of Several Models of Exchange Rate Volatility.
West, K.D.; Cho, D. - Wisconsin Madison - Social Systems - 1993
Persistent link: https://www.econbiz.de/10005443486
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WAS IT REAL? THE EXCHANGE RATE-INTEREST DIFFERENTIAL RALATION OVER THE MODERN FLOATING-RATE PERIOD.
MEESE, R.; ROGOFF, K. - Wisconsin Madison - Social Systems - 1988
Persistent link: https://www.econbiz.de/10005795312
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The Predictive Ability of Several Models of Exchange Rate Volatility.
West, K.D.; Cho, D. - Wisconsin Madison - Social Systems - 1993
Persistent link: https://www.econbiz.de/10005281513
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Destabilizing Exchange Rate Speculation: A Counterexample to Milton Friedman.
Ljungqvist, L. - Wisconsin Madison - Social Systems - 1993
Persistent link: https://www.econbiz.de/10005200465