Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates (Q289183): Difference between revisions
From MaRDI portal
ReferenceBot (talk | contribs) Changed an Item |
Normalize DOI. |
||
| Property / DOI | |||
| Property / DOI: 10.1016/j.jeconom.2006.11.003 / rank | |||
| Property / DOI | |||
| Property / DOI: 10.1016/J.JECONOM.2006.11.003 / rank | |||
Normal rank | |||
Revision as of 16:46, 8 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates |
scientific article |
Statements
Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates (English)
0 references
27 May 2016
0 references
density forecasts
0 references
GARCH
0 references
intraday exchange rate
0 references
jumps
0 references
maximum likelihood estimation
0 references
nonlinear time series
0 references
out-of-sample forecasts
0 references
regime-switching
0 references
0 references
0 references
0 references
0 references
