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Fernandez-Perez, Adrian ; Fernández-Rodríguez, Fernando ; Sosvilla-Rivero, Simón | Taylor & Francis | 2012We test for the existence of trends in exchange-rate series for 95 currencies against the US dollar. To that end, we make use of Taylor’s (1980) price trend model that, instead of focusing on the mean reverting behaviour of exchange rates measur[...]texto impreso
Fernandez-Perez, Adrian ; Fernández-Rodríguez, Fernando ; Sosvilla-Rivero, Simón | Taylor & Francis | 2012We offer further evidence on the relevance of technical trading in exchangerate markets using daily data for 95 currencies against the US dollar. To that end, we investigate the profitability of a simple technical trading rule based on Taylor’s [...]texto impreso
This study investigates the interconnection between five implied volatility indices representative of different financial markets during the period 1 August 2008–29 December 2017. To this end, we first perform a static and dynamic analysis to me[...]texto impreso
Fernandez-Perez, Adrian ; Fernández-Rodríguez, Fernando ; Sosvilla-Rivero, Simón | Scientific Research Publishing | 2012We develop a genetic algorithm that is able to find the optimal sequence of exchange rates that maximizes arbitrage profits with more than three currencies, being both the triangular arbitrage and the direct exchange rate two special cases of th[...]texto impreso
We present a model to forecast the probability of bear markets in the Spanish IBEX 35 with a congruent and concise parameterization which selects the explanatory factors from a wide set of variables like the yield curve of Spain, US and Europe, [...]
