Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates (Q289183)
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scientific article; zbMATH DE number 6586831
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| English | Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates |
scientific article; zbMATH DE number 6586831 |
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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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0.7534218430519104
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0.7301414608955383
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0.7219951152801514
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0.7089660167694092
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0.7065110206604004
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