Can the random walk model be beaten in out-of-sample density forecasts? : Evidence form intraday foreign exchange rates
Yongmiao Hong, Haitao Li, Feng Zhao
| Year of publication: |
2007
|
|---|---|
| Authors: | Hong, Yongmiao ; Li, Haitao ; Zhao, Feng |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 141.2007, 2, p. 736-776
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| Subject: | Random Walk | Random walk | ARCH-Modell | ARCH model | Devisenmarkt | Foreign exchange market | Zeitreihenanalyse | Time series analysis | Maximum-Likelihood-Schätzung | Maximum likelihood estimation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003571349