Error correction modelling and dynamic specifications as a conduit to outperforming the random walk in exchange rate forecasting
The proposition that dynamic exchange rate models can outperform the random walk in out-of-sample forecasting, in the sense that they produce lower mean square errors, is examined and disputed. By using several dynamic versions of three macroeconomic exchange rate models, it is demonstrated that dyn...
| Main Authors: | , |
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| Format: | Journal Article |
| Published: |
Routledge
2014
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/7264 |