Model-free evaluation of directional predictability in foreign exchange markets, страница 25

Table V. (Continued)

Cc1	Cc2			Joint interest rate differentials c D 0	c D 0.5	c D 1		Interest rate differentials of Cc 1 c D 0	c D 0.5	c D 1		of Cc 2
Cc1	Cc2			Joint interest rate differentials c D 0	c D 0.5	c D 1		Interest rate differentials of Cc 1 c D 0	c D 0.5	c D 1	c D 0	c D 0.5	c D 1
		MZID		0.59			MZID_k	10.65	11.87	2.43	0.91	2.04	2.88
		MZID		0.54		0.26	MZID_k			1.03	3.32	4.15	5.22
		MZZID₁ZID2	1,0,0	5.08	0.76	0.70	MZZIDk	20.52	10.63	0.47	2.22		1.86
BP	JY	MZID		15.34	18.51	9.40	MZID_k	13.46	22.65	12.41	14.73	12.94	5.94
		MZID		0.32	0.09		MZID_k	13.22	21.27	10.19	16.46	17.32	8.53
		MZID		4.09	4.60	1.90	MZIDk 1,2	3.41	2.62	0.26
		MZID		4.49	5.55	2.67	MZIDk 1,3	7.25	9.41	2.59	11.28	16.66	8.70
		MZID		3.77	4.86	2.71	MZIDk 1,4	4.18	3.35
		MZZID₁ZID2	1,0,0	8.22	5.58	6.62	MZZIDk	16.23	14.54	7.39	10.03	6.30	14.00
BP	SF	MZID		15.49	35.82	30.07	MZID_k	13.65	40.28	37.32	15.88	29.83	22.73
		MZID		4.59	11.84	16.17	MZID_k	15.51	39.61	30.65	18.29	35.43	28.94
		MZID		10.23	18.19	15.24	MZIDk 1,2	7.83	16.27	12.18	5.26	15.98	18.95
		MZID		8.97	15.49	10.62	MZID_k	13.23	25.62	14.03	12.92	25.89	24.42
		MZID		7.48	13.10	7.64	MZIDk 1,4	9.29	17.81	9.17	9.83	18.79	15.43
		MZZID₁ZID2		11.19	27.13	30.38	MZZID_k	12.56	32.78	31.03	16.79	27.09	37.03
BP	DM	MZID		13.84	36.36	31.56	MZID_k	14.98	43.49	34.19	10.53	20.69	23.51
		MZID		1.72	2.24	3.26	MZID_k	14.77	41.33	27.89	10.21	20.20	22.20
		MZID		6.39	7.58	5.93	MZIDk 1,2	6.71	5.62
		MZID		5.32	6.17	3.63	MZID_k	11.32	24.72	10.28	6.02	13.41	17.40
		MZID		3.75	4.50	1.94	MZIDk 1,4	7.31	8.07	0.42	5.18	10.14	13.15
		MZZID1ZID21,0,0		9.10	22.27	14.50	MZZIDk	12.35	36.36	6.98	11.49	16.67	33.09
JY	SF	MZID		8.21	3.74	0.03	MZID_k	10.48	4.46	0.19	3.69	1.36
		MZID					MZID_k	12.00	5.76	0.27	5.20	2.20
		MZID		3.78	1.07		MZID_k			0.70	4.01	0.35
		MZID		5.12	1.86		MZIDk 1,3	9.99	5.51	2.01	5.35	2.24
		MZID		4.97	1.92	0.03	MZID_k
		MZZID1ZID21,0,0		4.62			MZZ_IDk1,0	5.85	0.53	1.09	3.82
JY	DM	MZID		1.61	0.40		MZIDk 1,0	1.82	0.50
		MZID					MZIDk 1,1	2.87	1.22
		MZID		1.64			MZID_k
		MZID		2.14			MZIDk 1,3	4.16	3.23
		MZID		1.93			MZIDk 1,4	0.11	0.05
		MZZID1ZID21,0,0		0.96			MZZ_IDk1,0	0.40		0.35	0.98
SF	DM	MZID		1.80	4.29	9.30	MZIDk 1,0	1.94	4.97	10.86	1.46	3.90	9.65
		MZID		1.18	1.32	5.13	MZIDk 1,1	3.82	7.58	14.76	2.46	5.41	11.63
		MZID		4.18	4.40	7.01	MZIDk 1,2	2.33	1.78	4.57	0.25	0.74	5.69
		MZID		5.13	5.41	6.36	MZIDk 1,3	6.37	8.67	13.53	2.69	5.06	10.70
		MZID		5.25	5.58	5.58	MZIDk 1,4	5.62	5.13	6.35	1.88	2.70	6.82
		MZZID1ZID21,0,0		2.12	2.12	11.94	MZZ_IDk1,0	1.87	1.27	12.08	2.12	2.10	14.33

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