ARE EXCHANGE RATES REALLY RANDOM WALKS? SOME EVIDENCE ROBUST TO PARAMETER INSTABILITY

DOI10.1017/S1365100506050085MaRDI QIDQ5489150zbMATH OpenFDO

Authors Barbara Rossi

Publication date 25 September 2006

Published in Macroeconomic Dynamics (Search for Journal in Brave)

zbMATH Keywords

exchange ratesforecastingrandom walksparameter instability

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Statistical methods; risk measures (91G70)

Recommendations

• Are exchange rate movements a random walk?
• Forecasting the exchange rate PPP versus a random walk
• Real exchange rate forecasting and PPP: this time the random walk loses
• Expectations and chaotic dynamics: empirical evidence on exchange rates
• A non random walk theory of exchange rate dynamics with applications to option pricing

Cites work

• Asymptotic Inference about Predictive Ability
• Bootstrap specification tests for diffusion processes
• Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model
• OPTIMAL TESTS FOR NESTED MODEL SELECTION WITH UNDERLYING PARAMETER INSTABILITY
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Tests of equal forecast accuracy and encompassing for nested models
• The power of tests of predictive ability in the presence of structural breaks

Cited in

(16)

• Random walk or a run. Market microstructure analysis of foreign exchange rate movements based on conditional probability
• Robust inference for predictability in smooth transition predictive regressions
• Evaluating forecast performance with state dependence
• Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
• A residual-based ADF test for stationary cointegration in I(2) settings
• Are exchange rate movements a random walk?
• Does modeling a structural break improve forecast accuracy?
• Real exchange rate forecasting and PPP: this time the random walk loses
• LEARNING, THE FORWARD PREMIUM PUZZLE, AND MARKET EFFICIENCY
• Can we predict exchange rate movements at short horizons?
• Structural breaks in Taylor rule based exchange rate models -- evidence from threshold time varying parameter models
• Empirical modeling of exchange rate dynamics
• Time-varying model averaging
• Estimation and inference in unstable nonlinear least squares models
• On the sources of uncertainty in exchange rate predictability
• Forecasting the exchange rate PPP versus a random walk

This page was built for publication: ARE EXCHANGE RATES REALLY RANDOM WALKS? SOME EVIDENCE ROBUST TO PARAMETER INSTABILITY

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5489150)