Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates

DOI10.1016/J.JECONOM.2006.11.003MaRDI QIDQ289183zbMATH OpenOpenAlexFDO

Authors Yongmiao Hong, Feng Zhao, Haitao Li

Publication date 27 May 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2006.11.003

zbMATH Keywords

maximum likelihood estimationnonlinear time seriesregime-switchingGARCHjumpsdensity forecastsintraday exchange rateout-of-sample forecasts

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84) Sums of independent random variables; random walks (60G50)

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Cited in

(9)

• Validating forecasts of the joint probability density of bond yields: can affine models beat random walk?
• Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
• Quantitative portfolio selection: using density forecasting to find consistent portfolios
• A tale of two yield curves: modeling the joint term structure of dollar and euro interest rates
• Granger causality in risk and detection of extreme risk spillover between financial markets
• Functional prediction of intraday cumulative returns
• Density forecasts of emerging markets' exchange rates using Monte Carlo simulation with regime switching
• Alternative tests for correct specification of conditional predictive densities
• Forecasting the exchange rate PPP versus a random walk

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Uses Software

• RiskMetrics

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