Multi-Scale Predictability for Emerging Foreign Exchange Markets

• Main Authors: Dahlén, Olle, Ask Åström, Anton
• Format: Others
• Language: English
• Published: Linköpings universitet, Nationalekonomi 2016
• Online Access: http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-134394

Expanding the work done by Bekiros and Marcellino [2013] to emerging markets will give a better understanding of the prediction power of artificial neural networks with a wavelet design. The finan- cial perspective discussed will be from an investor or traders view with possible strategies and policies. Investors who seek a better un- derstanding of future volatility or a trader that wishes to improve the prediction of returns can learn from our conclusions. Continu- ously improving prediction models is a difficult but rewarding task, especially considering the effort and resources already invested in the area. The investments in emerging markets have been on a de- cline the past years but still has the possibility to bloom into a more attractive choice.