Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
DOI10.1016/J.JECONOM.2006.11.003zbMATH Open1418.62469OpenAlexW3124302126MaRDI QIDQ289183FDOQ289183
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
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maximum likelihood estimationnonlinear time seriesregime-switchingGARCHjumpsdensity forecastsintraday exchange rateout-of-sample forecasts
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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- Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
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Cited In (9)
- Forecasting the exchange rate PPP versus a random walk
- Alternative tests for correct specification of conditional predictive densities
- Granger causality in risk and detection of extreme risk spillover between financial markets
- 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?
- Density forecasts of emerging markets' exchange rates using Monte Carlo simulation with regime switching
- 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
- Functional prediction of intraday cumulative returns
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