Economics, Econometrics and Finance
4 years ago

New method accurately predicts changing correlations in currency exchange rates.

arXiv (Cornell University)
Multivariate stochastic volatility using state space models
Kostas Triantafyllopoulos

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The article develops a method for predicting changes in multiple financial markets using a mathematical model. By analyzing the data of 8 different currencies, the researchers found that they could efficiently estimate how the relationships between these currencies change over time. This method is fast, cheap, and can be used to make predictions in real-time.