Essays about: "exchange rate regression model"

Showing result 16 - 20 of 39 essays containing the words exchange rate regression model.

  1. 16. Relationship between Currency Carry Trades and Gold Returns : A quantitative study of G-10 currencies: correlation and spillover effects for the last two decades.

    University essay from Umeå universitet/Företagsekonomi

    Author : Johannes Hornbrinck; Jonas Olausson; [2014]
    Keywords : Gold; Currency Carry Trades; Carry Trades; Portfolio choice; Sweden; Gold Hege; Gold diversifier; Gold safe-haven; UIP; Relationship;

    Abstract : Currency carry trade is an investment strategy that recently started gaining a lot of interest not only among investors and financial institutions but also academically. One of the underlying theoretical assumptions regarding the mechanisms of the foreign exchange market, the Uncovered Interest Parity has frequently been disproved in practice which has led to the conclusion that carry trade is profitable in practice. READ MORE

  3. 17. Exchange rate sensitivity - a study of stock price sensitivity to unexpected changes in the EUR/SEK exchange rate

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Adam Lidén; Hampus Asphage; [2014]
    Keywords : Foreign exchange risk; Asset pricing; Foreign exchange sensitivity; International CAPM; Business and Economics;

    Abstract : Purpose: To investigate if there is a significant stock price sensitivity towards the currency pair for portfolios of Swedish companies and how this sensitivity differs between sectors, firm size and foreign to total sales ratios. Methodology: Use orthogonalized unexpected movements in a market index and the exchange rate and regress these on portfolio returns sorted by sector, firm size and foreign to total sales ratios. READ MORE

  4. 18. Predicting share price by using Multiple Linear Regression.

    University essay from KTH/Farkost och flyg

    Author : Gustaf Forslund; David Åkesson; [2013]
    Keywords : ;

    Abstract : The aim of the project was to design a multiple linear regression model and use it to predict the share’s closing price for 44 companies listed on the OMX Stockholm stock exchange’s Large Cap list. The model is intended to be used as a day trading guideline i.e. today’s information is used to predict tomorrow’s closing price. READ MORE

  5. 19. The role of exchange rates on the inflow of foreign direct investment to China

    University essay from Företagsekonomi

    Author : Dong Wei Hu; [2013]
    Keywords : FDI; China; RMB USD exchange rate; Unit root test; cointegration test;

    Abstract : Since the Chinese economic reforms and opening up to free trade, China has experienced sustained and rapid economic growth during the past thirty years, showing an annual GDP growth rate close to 10%, making this GDP growth ranked as the top three in the world since 2005. This remarkable achievement caused widespread concern in the international community. READ MORE

  6. 20. Forecasting exchage rates using machine learning models with time-varying volatility

    University essay from Statistik

    Author : Ankita Garg; [2012]
    Keywords : Forecasting; exchange rates; machine learning models;

    Abstract : This thesis is focused on investigating the predictability of exchange rate returns on monthly and daily frequency using models that have been mostly developed in the machine learning field. The forecasting performance of these models will be compared to the Random Walk, which is the benchmark model for financial returns, and the popular autoregressive process. READ MORE