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dc.contributor.author | Kantsir, Solomiia![]() |
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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 |