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A note on the performance of foreign exchange forecasters in a portfolio framework

  • Marsh, Ian W.
  • Power, David M.

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File URL: http://www.sciencedirect.com/science/article/B6VCY-3VW1DD7-C/2/42c32ab0807a81c64e7aba8a846bfdb6
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 20 (1996)
Issue (Month): 3 (April)
Pages: 605-613

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Handle: RePEc:eee:jbfina:v:20:y:1996:i:3:p:605-613
Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

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  1. Charles Engel, 1992. "Can the Markov Switching Model Forecast Exchange Rates?," NBER Working Papers 4210, National Bureau of Economic Research, Inc.
  2. Robert J. Hodrick & Sanjay Srivastava, 1983. "An Investigation of Risk and Return in Forward Foreign Exchange," NBER Working Papers 1180, National Bureau of Economic Research, Inc.
  3. John F. O. Bilson & David A. Hsieh, 1983. "The Profitability of Currency Speculation," NBER Working Papers 1197, National Bureau of Economic Research, Inc.
  4. Bilson, John F O, 1984. " Purchasing Power Parity as a Trading Strategy," Journal of Finance, American Finance Association, vol. 39(3), pages 715-24, July.
  5. Solnik, Bruno, 1993. "The performance of international asset allocation strategies using conditioning information," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 33-55, June.
  6. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
  7. Boothe, Paul & Glassman, Debra, 1987. "Comparing exchange rate forecasting models : Accuracy versus profitability," International Journal of Forecasting, Elsevier, vol. 3(1), pages 65-79.
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