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

DOI10.1017/S1365100506050085zbMath1102.91055MaRDI QIDQ5489150

Barbara Rossi

Publication date: 25 September 2006

Published in: Macroeconomic Dynamics (Search for Journal in Brave)

zbMATH Keywords

random walksforecastingexchange ratesparameter instability

Mathematics Subject Classification ID

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

Related Items

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Cites Work

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• Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Asymptotic Inference about Predictive Ability
• Tests of equal forecast accuracy and encompassing for nested models