Cointegration and exchange market efficiency. An analysis of high frequency data.
| Autor: | Trapletti, Adrian, Geyer, Alois, Leisch, Friedrich |
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| Jazyk: | angličtina |
| Rok vydání: | 1999 |
| Předmět: | |
| Druh dokumentu: | Paper |
| Popis: | A cointegration analysis on a triangle of high frequency exchange rates is presented. Market efficiency requires the triangle to be cointegrated and the cointegration term to be a martingale difference sequence. We find empirical evidence against market efficiency for very short time horizons: The cointegration term does not behave like a martingale difference sequence. In an out-of-sample forecasting study the cointegrated vector autoregressive (VAR) model is found to be superior to the naive martingale. Finally, a simple trading strategy shows that the VAR also has a significant forecast value in economic terms even after accounting for transaction costs. (author's abstract) Series: Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science" |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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