Error correction modelling and dynamic specifications as a conduit to outperforming the random walk in exchange rate forecasting

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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...

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Bibliographic Details
Main Authors:	Moosa, I., Burns, Kelly
Format:	Journal Article
Published:	Routledge 2014
Subjects:	random walk error correction models forecasting exchange rate models
Online Access:	http://hdl.handle.net/20.500.11937/7264

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