The random walk as a forecasting benchmark: drift or no drift?

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The random walk as a forecasting benchmark: drift or no drift?

We examine the proposition that the random walk without drift is more powerful in predicting exchange rates than the random walk with drift. It is demonstrated that there is no theoretical reason why the random walk without drift always outperforms the random walk with drift and that this is an empi...

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Bibliographic Details
Main Authors:	Moosa, I., Burns, Kelly
Format:	Journal Article
Published:	Routledge 2016
Online Access:	http://hdl.handle.net/20.500.11937/51456

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