A factor model for predicting exchange rate fluctuations

dc.contributor.author	Kantsir, Solomiia
dc.date.accessioned	2023-07-05T13:27:16Z
dc.date.available	2023-07-05T13:27:16Z
dc.date.issued	2022
dc.identifier.citation	Kantsir Solomiia. A factor model for predicting exchange rate fluctuations. Bachelor Thesis. Ukrainian Catholic University, Faculty of Applied Sciences, Department of Computer Sciences. Lviv 2022, 39 p.	uk
dc.identifier.uri	https://er.ucu.edu.ua/handle/1/3908
dc.description.abstract	Weinvestigatetherelationshipbetweenriskandreturnsintheexchangeratemarket and propose a new statistical model for predicting currency returns using the Instrumented Principal Component Analysis (IPCA) (Kelly, Pruitt, and Su, 2019). Weshowthatthemodelwithtime-varyingloadingsandlatentfactorsoutperforms the existingfactor-basedstrategiesin-sampleandout-of-sample.Specifically,the four-factorIPCAmodelexplainsupto64%ofcurrencyreturnsvariation,whilethe model withobservablefactorsshowstheperformanceof57%.Wehavefoundthat the IPCAfactorsthatexplainthecross-sectionofcurrencyreturnsareglobalvolatil- ity,carrytrade,dollar,andmomentum.Theresultsaretestedin-sampleandout- sample and hold for individual currencies and managed portfolios.	uk
dc.language.iso	en	uk
dc.title	A factor model for predicting exchange rate fluctuations	uk
dc.type	Preprint	uk
dc.status	Публікується вперше	uk