Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/48011
DC FieldValueLanguage
dc.contributor.authorSosvilla Rivero,Simón Javieren_US
dc.contributor.authorAndrada Félix, Juliánen_US
dc.contributor.authorFernández Rodríguez, Fernandoen_US
dc.date.accessioned2018-11-23T18:15:12Z-
dc.date.available2018-11-23T18:15:12Z-
dc.date.issued2002en_US
dc.identifier.issn1350-4851en_US
dc.identifier.urihttp://hdl.handle.net/10553/48011-
dc.description.abstractNew evidence is presented on the positive correlation between returns from technical trading rules and periods of central bank intervention. To that end, the profitability of a trading strategy based on nearest-neighbour (nonlinear) predictors is evaluated, which may be viewed as a generalization of graphical methods widely used in financial markets. Daily data on the US dollar/Deutschmark and US dollar/Japanese Yen covering the 1 February 1982-31 December 1996 period are used. The results suggest that the exclusion of days of US intervention implies a substantial reduction in all profitability indicators (net returns, ideal profit measure, Sharpe ratio and directional forecast), being the reduction grater in the US dollar-Deutschmark case than in the US dollar-Japanese yen case.en_US
dc.languageengen_US
dc.publisher1350-4851
dc.relation.ispartofApplied Economics Lettersen_US
dc.sourceApplied Economics Letters[ISSN 1350-4851],v. 9, p. 827-832en_US
dc.subject5302 Econometríaen_US
dc.subject.otherBolsa de valoresen_US
dc.subject.otherModelos económetricosen_US
dc.titleFurther evidence on technical trade profitability and foreign exchange interventionen_US
dc.typeinfo:eu-repo/semantics/Articleen_US
dc.typeArticleen_US
dc.identifier.doi10.1080/13504850210137802
dc.identifier.scopus0037057711-
dc.identifier.isi000178405500014
dc.contributor.authorscopusid6701863324-
dc.contributor.authorscopusid6505916889-
dc.contributor.authorscopusid6603053452-
dc.description.lastpage832-
dc.description.firstpage827-
dc.relation.volume9-
dc.investigacionCiencias Sociales y Jurídicasen_US
dc.type2Artículoen_US
dc.contributor.daisngid514725
dc.contributor.daisngid3014920
dc.contributor.daisngid1514720
dc.utils.revisionen_US
dc.contributor.wosstandardWOS:Sosvilla-Rivero, S
dc.contributor.wosstandardWOS:Andrada-Felix, J
dc.contributor.wosstandardWOS:Fernandez-Rodriguez, F
dc.date.coverdateOctubre 2002
dc.identifier.ulpgces
dc.description.jcr0,089
dc.description.jcrqQ4
dc.description.ssciSSCI
item.fulltextSin texto completo-
item.grantfulltextnone-
crisitem.author.deptFinanzas Cuantitativas y Computacionales-
crisitem.author.deptMétodos Cuantitativos en Economía y Gestión-
crisitem.author.deptFinanzas Cuantitativas y Computacionales-
crisitem.author.deptMétodos Cuantitativos en Economía y Gestión-
crisitem.author.orcid0000-0001-8598-3234-
crisitem.author.orcid0000-0002-8808-9286-
crisitem.author.parentorgMétodos Cuantitativos en Economía y Gestión-
crisitem.author.parentorgMétodos Cuantitativos en Economía y Gestión-
crisitem.author.fullNameSosvilla Rivero,Simón Javier-
crisitem.author.fullNameAndrada Félix, Julián-
crisitem.author.fullNameFernández Rodríguez, Fernando-
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