In this paper, we investigate the long run dynamics of the intraday range of the GBP/USD, JPY/USD and CHF/USD exchange rates. We use a non-parametric filter to extract the low frequency component of the intraday range, and model the cyclical deviation of the range from the long run trend as a...

In this paper, we investigate the long run dynamics of the intraday range of the GBP/USD, JPY/USD and CHF/USD exchange rates. We use a non-parametric filter to extract the low frequency component of the intraday range, and model the cyclical deviation of the range from the long run trend as a...

Standard models-based exclusively on macro-financial variables-have made little progress in explaining the behavior of exchange rates. In this paper, we introduce a neglected set of 'soft power' factors capturing a country's demographic, institutional, political and social underpinnings to...

We investigate the predictability of the G10 currencies with respect to lagged currency returns from the perspective of a U.S. investor, using the maximally predictable portfolio (MPP) approach of Lo and MacKinlay (1997). Out-of-sample, the MPP yields a higher Sharpe ratio, higher cumulative...