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Are Exchange Rates Really Random Walks? Some Evidence Robust To Parameter Instability

Rossi, Barbara - 2006

Many authors have documented that it is challenging to explain exchange rate fluctuations with macroeconomic fundamentals: a random walk forecasts future exchange rates better than existing macroeconomic models. This paper applies newly developed tests for nested model that are robust to the...

Persistent link: https://www.econbiz.de/10009475539

Exploring longitudinal risk-return relationships

Andersen, Torben Juul; Bettis, Richard A. - In: Strategic management journal 36 (2015) 8, pp. 1135-1145

Persistent link: https://www.econbiz.de/10011398904

Fundamentals, forecast combinations and nominal exchange-rate predictability

Wu, Jyh-lin; Wang, Yi-chiuan - In: International review of economics & finance : IREF 25 (2013), pp. 129-145

Persistent link: https://www.econbiz.de/10009693330

Random walks and market efficiency : evidence from Indian stock market

Tripathy, Nalini Prava - In: International journal of economics and business research 6 (2013) 2, pp. 210-228

Persistent link: https://www.econbiz.de/10010351158

Entrance times of random walks : with applications to pension fund modeling

Fiig Jarner, Søren; Tolver Kronborg, Morten - In: Insurance / Mathematics & economics 67 (2016), pp. 1-20

Persistent link: https://www.econbiz.de/10011457142

Why is it so difficult to outperform the random walk? : an application of the Meese-Rogoff puzzle to stock prices

Moosa, Imad A.; Vaz, John - In: Applied economics 47 (2015) 4/6, pp. 398-407

Persistent link: https://www.econbiz.de/10010463372

Extending assortativity : an application to weighted social networks

Arcagni, Alberto; Grassi, Rosanna; Stefani, Silvana; … - In: Journal of business research : JBR 129 (2021), pp. 774-783

Persistent link: https://www.econbiz.de/10012509739

The mixing time of the Dikin walk in a polytope : a simple proof

Sachdeva, Sushant; Vishnoi, Nisheeth K. - In: Operations research letters 44 (2016) 5, pp. 630-634

Persistent link: https://www.econbiz.de/10011596583

Efficient rare-event simulation for multiple jump events in regularly varying random walks and compound poisson processes

Chen, Bohan; Blanchet, Jose; Rhee, Chang-Han; Zwart, Bert - In: Mathematics of operations research 44 (2019) 3, pp. 919-942

Persistent link: https://www.econbiz.de/10012105807

A simple return generating model in discrete time : implications and potential applications for market efficiency testing and technical analysis

Milionis, Alexandros E. - In: Theoretical economics letters 9 (2019) 4, pp. 973-985

Persistent link: https://www.econbiz.de/10012023083