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The profitability of currency speculation

Publication ,  Journal Article
Bilson, JFO; Hsieh, DA
Published in: International Journal of Forecasting
January 1, 1987

This paper presents the results of a post-sample simulation of a speculative strategy using a portfolio of foreign currency forward contracts. The main new features of the speculative strategy are (a) the use of Kalman filters to updata the forecasting equation, (b) the allowance for transactions costs and margin requirements and (c) the endogeneous determination of the leveraging of the portfolio. While the forecasting model tended to overestimate profit and underestimate risk, the strategy was still profitable over a three year period and it was possible to reject the hypothesis that the sum of profits was zero. © 1987.

Duke Scholars

Published In

International Journal of Forecasting

DOI

ISSN

0169-2070

Publication Date

January 1, 1987

Volume

3

Issue

1

Start / End Page

115 / 130

Related Subject Headings

  • Econometrics
  • 1505 Marketing
  • 1403 Econometrics
  • 0104 Statistics
 

Citation

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ICMJE
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Bilson, J. F. O., & Hsieh, D. A. (1987). The profitability of currency speculation. International Journal of Forecasting, 3(1), 115–130. https://doi.org/10.1016/0169-2070(87)90082-3
Bilson, J. F. O., and D. A. Hsieh. “The profitability of currency speculation.” International Journal of Forecasting 3, no. 1 (January 1, 1987): 115–30. https://doi.org/10.1016/0169-2070(87)90082-3.
Bilson JFO, Hsieh DA. The profitability of currency speculation. International Journal of Forecasting. 1987 Jan 1;3(1):115–30.
Bilson, J. F. O., and D. A. Hsieh. “The profitability of currency speculation.” International Journal of Forecasting, vol. 3, no. 1, Jan. 1987, pp. 115–30. Scopus, doi:10.1016/0169-2070(87)90082-3.
Bilson JFO, Hsieh DA. The profitability of currency speculation. International Journal of Forecasting. 1987 Jan 1;3(1):115–130.
Journal cover image

Published In

International Journal of Forecasting

DOI

ISSN

0169-2070

Publication Date

January 1, 1987

Volume

3

Issue

1

Start / End Page

115 / 130

Related Subject Headings

  • Econometrics
  • 1505 Marketing
  • 1403 Econometrics
  • 0104 Statistics