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

DOI10.1016/j.jeconom.2006.11.003zbMath1418.62469OpenAlexW3124302126MaRDI QIDQ289183

Feng Zhao, Yongmiao Hong, Hai-Tao 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

jumpsmaximum likelihood estimationGARCHnonlinear time seriesregime-switchingdensity forecastsintraday exchange rateout-of-sample forecasts

Mathematics Subject Classification ID

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

Related Items (8)

Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates ⋮ Validating forecasts of the joint probability density of bond yields: can affine models beat random walk? ⋮ Granger causality in risk and detection of extreme risk spillover between financial markets ⋮ Alternative tests for correct specification of conditional predictive densities ⋮ Quantitative portfolio selection: using density forecasting to find consistent portfolios ⋮ Density Forecasts of Emerging Markets’ Exchange Rates Using Monte Carlo Simulation with Regime Switching ⋮ A tale of two yield curves: modeling the joint term structure of dollar and euro interest rates ⋮ Functional prediction of intraday cumulative returns

Uses Software

• RiskMetrics

Cites Work

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