ARE EXCHANGE RATES REALLY RANDOM WALKS? SOME EVIDENCE ROBUST TO PARAMETER INSTABILITY
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Publication:5489150
DOI10.1017/S1365100506050085zbMATH Open1102.91055MaRDI QIDQ5489150FDOQ5489150
Authors: Barbara Rossi 
Publication date: 25 September 2006
Published in: Macroeconomic Dynamics (Search for Journal in Brave)
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Macroeconomic theory (monetary models, models of taxation) (91B64) Statistical methods; risk measures (91G70)
Cites Work
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- Asymptotic Inference about Predictive Ability
- Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model
- The power of tests of predictive ability in the presence of structural breaks
- Bootstrap specification tests for diffusion processes
- OPTIMAL TESTS FOR NESTED MODEL SELECTION WITH UNDERLYING PARAMETER INSTABILITY
- Tests of equal forecast accuracy and encompassing for nested models
Cited In (16)
- Can we predict exchange rate movements at short horizons?
- Forecasting the exchange rate PPP versus a random walk
- A residual-based ADF test for stationary cointegration in I(2) settings
- Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
- Real exchange rate forecasting and PPP: this time the random walk loses
- Empirical modeling of exchange rate dynamics
- On the sources of uncertainty in exchange rate predictability
- Structural breaks in Taylor rule based exchange rate models -- evidence from threshold time varying parameter models
- Evaluating forecast performance with state dependence
- LEARNING, THE FORWARD PREMIUM PUZZLE, AND MARKET EFFICIENCY
- Time-varying model averaging
- Random walk or a run. Market microstructure analysis of foreign exchange rate movements based on conditional probability
- Does modeling a structural break improve forecast accuracy?
- Robust inference for predictability in smooth transition predictive regressions
- Are exchange rate movements a random walk?
- Estimation and inference in unstable nonlinear least squares models
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