ARE EXCHANGE RATES REALLY RANDOM WALKS? SOME EVIDENCE ROBUST TO PARAMETER INSTABILITY

DOI10.1017/S1365100506050085zbMath1102.91055MaRDI QIDQ5489150

Barbara Rossi

Publication date: 25 September 2006

Published in: Macroeconomic Dynamics (Search for Journal in Brave)

zbMATH Keywords

random walksforecastingexchange ratesparameter instability

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Macroeconomic theory (monetary models, models of taxation) (91B64)

Related Items (10)

Real exchange rate forecasting and PPP: this time the random walk loses ⋮ Evaluating forecast performance with state dependence ⋮ ON THE SOURCES OF UNCERTAINTY IN EXCHANGE RATE PREDICTABILITY ⋮ Estimation and inference in unstable nonlinear least squares models ⋮ Time-varying model averaging ⋮ Does modeling a structural break improve forecast accuracy? ⋮ LEARNING, THE FORWARD PREMIUM PUZZLE, AND MARKET EFFICIENCY ⋮ Robust inference for predictability in smooth transition predictive regressions ⋮ A residual-based ADF test for stationary cointegration in I(2) settings ⋮ Random walk or a run. Market microstructure analysis of foreign exchange rate movements based on conditional probability

Cites Work

• The power of tests of predictive ability in the presence of structural breaks
• Bootstrap specification tests for diffusion processes
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• OPTIMAL TESTS FOR NESTED MODEL SELECTION WITH UNDERLYING PARAMETER INSTABILITY
• Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Asymptotic Inference about Predictive Ability
• Tests of equal forecast accuracy and encompassing for nested models

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