The unbeatable random walk in exchange rate forecasting: Reality or myth?

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The unbeatable random walk in exchange rate forecasting: Reality or myth?

It is demonstrated that the conventional monetary model of exchange rates can (irrespective of the specification, estimation method or the forecasting horizon) outperform the random walk in out-of-sample forecasting if forecasting power is measured by direction accuracy and profitability. Claims of...

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Bibliographic Details
Main Authors:	Moosa, I., Burns, Kelly
Format:	Journal Article
Published:	Elsevier 2014
Subjects:	Exchange rate models Random walk Forecasting Monetary model Direction accuracy
Online Access:	http://hdl.handle.net/20.500.11937/11881

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