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Direction Accuracy 1 Exchange Rate Models 1 Forecasting Random Walk 1
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Burns, Kelly 1 Moosa, EImad A. 1
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Economia Internazionale / International Economics 1
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Can exchange rate models outperform the random walk? Magnitude, direction and profitability as criteria - I modelli di tasso cambio possono battere la “random walk”? Grandezza, direzione e profittabilità come criteri di comparazione
Moosa, EImad A.; Burns, Kelly - In: Economia Internazionale / International Economics 65 (2012) 3, pp. 473-490
While many explanations have been put forward for the failure of exchange rate models to outperform the random walk in out-of-sample forecasting, a simple explanation is the use of measures of forecasting accuracy that depend entirely on the magnitude of the forecasting error. By using simulated...
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