Can exchange rate models outperform the random walk? Magnitude, direction and profitability as criteria

Can exchange rate models outperform the random walk? Magnitude, direction and profitability as criteria

While many explanations have been put forward for the failure of exchange rate models to outperform the random walk in out-of-sample forecasting, a simple explanation is the use of measures of forecasting accuracy that depend entirely on the magnitude of the forecasting error. By using simulated dat...

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Bibliographic Details
Main Authors: Moosa, I., Burns, Kelly
Format: Journal Article
Published: Bankwest Curtin Economics Centre 2015
Online Access:http://hdl.handle.net/20.500.11937/30822

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