Why is it so difficult to beat the random walk forecast of exchange rates?:
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| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Frankfurt am Main
Europ. Central Bank
2001
|
| Series: | Working paper series / European Central Bank
88 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Literaturverz. S. 32 - 34 |
| Physical Description: | 55 S. graph. Darst. |
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Record in the Search Index
| _version_ | 1805068709875679232 |
|---|---|
| adam_text |
CONTENTS
ABSTRACT
4
NON-TECHNICAL
SUMMARY
5
I
INTRODUCTION
9
2.
SOURCES
OF
THRESHOLD
DYNAMICS
IN
EXCHANGE
RATES
12
3.
ECONOMETRIC
EVIDENCE
OF
NONLINEAR
MEAN
REVERSION
IN
DEVIATIONS
FROM
FUNDAMENTALS
15
4.
LONG-HORIZON
PREDICTABILITY
DUE
TO
NONLINEAR
MEAN
REVERSION:
A
MONTE
CARLO
STUDY
20
5.
A
NEW
APPROACH
TO
GENERATING
BOOTSTRAP
CRITICAL
VALUES
FOR
LONG-HORIZON
REGRESSION
TESTS
22
6.
EMPIRICAL
EVIDENCE
OF
LONG-HORIZON
PREDICTABILITY
RELATIVE
TO
THE
RANDOM
WALK
MODEL
28
7.
CONCLUDING
REMARKS
30
REFERENCES
32
TABLES
35
FIGURES
38
APPENDIX
49
EUROPEAN
CENTRAL
BANK
WORKING
PAPER
SERIES
51 |
| any_adam_object | 1 |
| author | Kilian, Lutz Taylor, Mark P. 1958- |
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| id | DE-604.BV014097105 |
| illustrated | Illustrated |
| indexdate | 2024-07-20T03:54:27Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009657610 |
| oclc_num | 237393773 |
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| owner_facet | DE-12 DE-706 DE-83 |
| physical | 55 S. graph. Darst. |
| publishDate | 2001 |
| publishDateSearch | 2001 |
| publishDateSort | 2001 |
| publisher | Europ. Central Bank |
| record_format | marc |
| series2 | Working paper series / European Central Bank |
| spelling | Kilian, Lutz Verfasser (DE-588)130444812 aut Why is it so difficult to beat the random walk forecast of exchange rates? by Lutz Kilian ; Mark P. Taylor Frankfurt am Main Europ. Central Bank 2001 55 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Working paper series / European Central Bank 88 Literaturverz. S. 32 - 34 Wechselkursänderung (DE-588)4129405-1 gnd rswk-swf Prognose (DE-588)4047390-9 gnd rswk-swf Wechselkursänderung (DE-588)4129405-1 s Prognose (DE-588)4047390-9 s DE-604 Taylor, Mark P. 1958- Verfasser (DE-588)123992125 aut European Central Bank Working paper series 88 (DE-604)BV012681744 88 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009657610&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Kilian, Lutz Taylor, Mark P. 1958- Why is it so difficult to beat the random walk forecast of exchange rates? Wechselkursänderung (DE-588)4129405-1 gnd Prognose (DE-588)4047390-9 gnd |
| subject_GND | (DE-588)4129405-1 (DE-588)4047390-9 |
| title | Why is it so difficult to beat the random walk forecast of exchange rates? |
| title_auth | Why is it so difficult to beat the random walk forecast of exchange rates? |
| title_exact_search | Why is it so difficult to beat the random walk forecast of exchange rates? |
| title_full | Why is it so difficult to beat the random walk forecast of exchange rates? by Lutz Kilian ; Mark P. Taylor |
| title_fullStr | Why is it so difficult to beat the random walk forecast of exchange rates? by Lutz Kilian ; Mark P. Taylor |
| title_full_unstemmed | Why is it so difficult to beat the random walk forecast of exchange rates? by Lutz Kilian ; Mark P. Taylor |
| title_short | Why is it so difficult to beat the random walk forecast of exchange rates? |
| title_sort | why is it so difficult to beat the random walk forecast of exchange rates |
| topic | Wechselkursänderung (DE-588)4129405-1 gnd Prognose (DE-588)4047390-9 gnd |
| topic_facet | Wechselkursänderung Prognose |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009657610&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV012681744 |
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