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Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates

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  • Hong, Yongmiao
  • Li, Haitao
  • Zhao, Feng

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  • Hong, Yongmiao & Li, Haitao & Zhao, Feng, 2007. "Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates," Journal of Econometrics, Elsevier, vol. 141(2), pages 736-776, December.
    • Handle: RePEc:eee:econom:v:141:y:2007:i:2:p:736-776
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