The Performance of Trading Rules on Four Asian Currency Exchange Rates
22 Pages Posted: 18 Jul 2015
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The Performance of Trading Rules on Four Asian Currency Exchange Rates
Multinational Finance Journal, Vol. 1, No. 1, p. 1-22, 1997
Number of pages: 22
Posted: 18 Jul 2015
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Date Written: 1997
Abstract
This article evaluates the performance of filter rules on four Asian exchange rates against the U.S. dollar. Risk premiums derived from the choice under uncertainty model and the GARCH specification are used to construct the risk-adjusted return series. Results show that risk premiums have significant implications for the performance of filter rules. Further, even if investors can tolerate some risk, transaction costs can further eliminate most of the remaining profitable trading opportunities.
Suggested Citation: Suggested Citation
Cheung, Yin-Wong and Wong, Clement Yuk-Pang, The Performance of Trading Rules on Four Asian Currency Exchange Rates (1997). Multinational Finance Journal, Vol. 1, No. 1, p. 1-22, 1997, Available at SSRN: https://ssrn.com/abstract=2631568
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