Moosa, EImad A.; Burns, Kelly - In: Economia Internazionale / International Economics 65 (2012) 3, pp. 473-490
out-of-sample forecasting, a simple explanation is the use of measures of forecasting accuracy that depend entirely on the … the random walk can be outperformed if forecasting power is judged by measures of direction accuracy, by adjusting the … root mean square error to take into account direction accuracy, and by using the risk-adjusted return obtained from a …