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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| Property / Mathematics Subject Classification ID: 62P20 / rank | |||
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| Property / Mathematics Subject Classification ID: 62M10 / rank | |||
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| Property / Mathematics Subject Classification ID: 60G50 / rank | |||
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| Property / Mathematics Subject Classification ID: 91B84 / rank | |||
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| Property / zbMATH DE Number: 6586831 / rank | |||
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density forecasts | |||
| Property / zbMATH Keywords: density forecasts / rank | |||
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GARCH | |||
| Property / zbMATH Keywords: GARCH / rank | |||
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intraday exchange rate | |||
| Property / zbMATH Keywords: intraday exchange rate / rank | |||
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jumps | |||
| Property / zbMATH Keywords: jumps / rank | |||
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maximum likelihood estimation | |||
| Property / zbMATH Keywords: maximum likelihood estimation / rank | |||
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nonlinear time series | |||
| Property / zbMATH Keywords: nonlinear time series / rank | |||
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out-of-sample forecasts | |||
| Property / zbMATH Keywords: out-of-sample forecasts / rank | |||
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regime-switching | |||
| Property / zbMATH Keywords: regime-switching / rank | |||
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Revision as of 19:22, 27 June 2023
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)
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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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