This paper tests whether fitted linear models can replicate results from moment tests inspired by moving average technical trading rules for weekly foreign exchange series. Estimation is performed using standard OLS and maximum likelihood methods, along with a simulated method of moments technique which incorporates the trading rule moments into the estimation procedure. Results show that linear models are capable of replicating the trading rule moments along with the small autocorrelations observed in these series. This result holds for parameter values estimated using SMM and GARCH disturbances, but not for parameters estimated using maximum likelihood. The estimated models are simulated to examine the amount of predictability over long horizons.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by University of Wisconsin - Madison in its series Working papers with number
_005.
Length: Date of creation: Date of revision: Handle: RePEc:wop:wimahp:_005
Contact details of provider: Postal: Social Science Building, 1180 Observatory Drive, Madison, WI 53706-1393 Phone: 608/263-2989 Fax: 608/262-2033 Email: Web page: http://www.econ.wisc.edu/ More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Thomas Krichel).
Related research
Keywords:
Other versions of this item:
Cited by: (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)