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Is a random walk the best exchange rate predictor?

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  • Lisi, Francesco
  • Medio, Alfredo

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File URL: http://www.sciencedirect.com/science/article/B6V92-3SWYBTY-8/2/226f044e404b2dceab58b298219f6f7d
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Bibliographic Info

Article provided by Elsevier in its journal International Journal of Forecasting.

Volume (Year): 13 (1997)
Issue (Month): 2 (June)
Pages: 255-267

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Handle: RePEc:eee:intfor:v:13:y:1997:i:2:p:255-267

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Web page: http://www.elsevier.com/locate/ijforecast

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References

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  1. Bruce Mizrach, 1996. "Forecast Comparison in L2," Departmental Working Papers 199524, Rutgers University, Department of Economics.
  2. Canova, Fabio, 1993. "Modelling and forecasting exchange rates with a Bayesian time-varying coefficient model," Journal of Economic Dynamics and Control, Elsevier, vol. 17(1-2), pages 233-261.
  3. MacDonald, Ronald & Taylor, Mark P., 1994. "The monetary model of the exchange rate: long-run relationships, short-run dynamics and how to beat a random walk," Journal of International Money and Finance, Elsevier, vol. 13(3), pages 276-290, June.
  4. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
  5. Francis X. Diebold & James M. Nason, 1989. "Nonparametric exchange rate prediction?," Finance and Economics Discussion Series 81, Board of Governors of the Federal Reserve System (U.S.).
  6. Hsieh, David A, 1989. "Testing for Nonlinear Dependence in Daily Foreign Exchange Rates," The Journal of Business, University of Chicago Press, vol. 62(3), pages 339-68, July.
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Cited by:
  1. Lisi, Francesco & Schiavo, Rosa A., 1999. "A comparison between neural networks and chaotic models for exchange rate prediction," Computational Statistics & Data Analysis, Elsevier, vol. 30(1), pages 87-102, March.
  2. repec:fda:fdaddt:2002-01 is not listed on IDEAS
  3. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
  4. Cao, Liangyue & Soofi, Abdol S., 1999. "Nonlinear deterministic forecasting of daily dollar exchange rates," International Journal of Forecasting, Elsevier, vol. 15(4), pages 421-430, October.
  5. Nikola Gradojević & Vladimir Djaković & Goran Andjelić, 2010. "Random Walk Theory and Exchange Rate Dynamics in Transition Economies," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 57(3), pages 303-320, September.

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