Kent Business School

About

Research Topic

Essays on Exchange Rates

Supervisors

Dr Ekaterini Panopoulou

Professor Radu Tunaru

Dr Antonis Alexandridis

1st Supervisor's Research Group

Finance

Contact Information

Address

Kent Business School
Sibson
Canterbury
CT2 7FS

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Qualifications

  • Msc in Applied Finance and Economics
  • Dilploma in National School of Public Administration of Athens
  • Bachelor in Political Science and Public Administration
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Summary of Research

Policy makers, practitioners and academics regularly monitor exchange rate fluctuations since they lie at the core of international economics. Exchange rate predictability has long been at the top of the research agenda in international finance. However, modelling exchange rate behaviour is one of the most challenging tasks imposed to economists since the seminal contribution of Meese and Rogoff, who found that exchange rate models based on fundamentals fail to beat the Random Walk model for horizons up to one year.

The project will employ innovative forecasting techniques that go beyond the typical empirical exchange rate models which include the random walk model, uncovered interest parity, purchasing power parity, monetary fundamentals, and symmetric and asymmetric Taylor rules. Examples of these techniques include sophisticated forecast combination and information combination methods, neural network models, quantile regression models and model averaging techniques.

Given that expected returns are a critical input in the optimal portfolio choice of a risk-averse investor, the dissertation will also focus on dynamic allocation trading strategies based on appropriately specified utility functions. Overall, I will assess the significance of a plethora of trading strategies ranging from simple ones to hybrid ones merging traditional forecasting techniques with neural network models.

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Scholarship

  • Kent Business School Scholarship
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Kent Business School - University of Kent

The University of Kent, Canterbury, Kent, CT2 7NZ, T: +44 (0)1227 764000 E:kbsinfo@kent.ac.uk

Last Updated: 07/09/2017