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Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk? · Study

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ArticlePredicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?

Ilias Tsiakas2014

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Articlegreen2014

Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?

Ilias Tsiakas · Weiren Wang

94 citations·0/0 files stored·Journal of Financial Econometrics

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Forecasting Techniques and Applications Monetary Policy and Economic Impact Financial Markets and Investment Strategies

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References

1993Discretion versus policy rules in practice 1997Postwar U.S. Business Cycles: An Empirical Investigation 1983Empirical exchange rate models of the seventies 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction 1969The Combination of Forecasts 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2006Approximately normal tests for equal predictive accuracy in nested models

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2014Sparse and Stable Portfolio Selection With Parameter Uncertainty 2018Fundamentals and exchange rate forecastability with simple machine learning methods 2022Forecasting crude oil futures market returns: A principal component analysis combination approach 2017ON THE SOURCES OF UNCERTAINTY IN EXCHANGE RATE PREDICTABILITY 2014Forecasting Exchange Rates under Parameter and Model Uncertainty 2021

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Year2014

Typearticle

Published2014-01-01

VenueJournal of Financial Econometrics

ISSN-L1479-8409

Languageen

Citations94

Files0 public / 0

ShelfForecasting Techniques and Applications

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doi10.1093/jjfinec/nbu007

openalex_workW2155263147

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Forecasting stock return volatility: The role of shrinkage approaches in a data‐rich environment

2017The Role of Technical Indicators in Exchange Rate Forecasting

2020Exchange rate predictability and dynamic Bayesian learning