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Factor timing in currency markets
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AI
DOI：10.1016/j.intfin.2026.102351.png)
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Abstract
En 中文
• This paper examines time-series predictability of eleven currency risk factors. • Factor returns are predictable using cross-sectional portfolio characteristics. • Nonlinear machine learning methods deliver strong predictive performance. • Factor timing portfolio outperforms benchmarks and static factor portfolios.
Keywords:
currency risk factors
time-series predictability
machine learning
factor timing
portfolio performance
Journal
J
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Papers:
65
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