Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates (Q289183): Difference between revisions

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Latest revision as of 13:30, 9 December 2024

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Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
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    Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates (English)
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    27 May 2016
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    density forecasts
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    GARCH
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    intraday exchange rate
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    jumps
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    maximum likelihood estimation
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    nonlinear time series
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    out-of-sample forecasts
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    regime-switching
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