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Is a random walk the best exchange rate predictor?

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  • Lisi, Francesco
  • Medio, Alfredo

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  • Lisi, Francesco & Medio, Alfredo, 1997. "Is a random walk the best exchange rate predictor?," International Journal of Forecasting, Elsevier, vol. 13(2), pages 255-267, June.
    • Handle: RePEc:eee:intfor:v:13:y:1997:i:2:p:255-267
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    1. Diebold, Francis X. & Nason, James A., 1990. "Nonparametric exchange rate prediction?," Journal of International Economics, Elsevier, vol. 28(3-4), pages 315-332, May.
    2. Canova, Fabio, 1993. "Modelling and forecasting exchange rates with a Bayesian time-varying coefficient model," Journal of Economic Dynamics and Control, Elsevier, vol. 17(1-2), pages 233-261.
    3. Granger, C. W. J. & Newbold, Paul, 1986. "Forecasting Economic Time Series," Elsevier Monographs, Elsevier, edition 2, number 9780122951831 edited by Shell, Karl.
    4. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78, World Scientific Publishing Co. Pte. Ltd..
    5. Bruce Mizrach, 1996. "Forecast Comparison in L2," Departmental Working Papers 199524, Rutgers University, Department of Economics.
    6. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
    7. MacDonald, Ronald & Taylor, Mark P., 1994. "The monetary model of the exchange rate: long-run relationships, short-run dynamics and how to beat a random walk," Journal of International Money and Finance, Elsevier, vol. 13(3), pages 276-290, June.
    8. Hsieh, David A, 1989. "Testing for Nonlinear Dependence in Daily Foreign Exchange Rates," The Journal of Business, University of Chicago Press, vol. 62(3), pages 339-368, July.
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    1. Lisi, Francesco & Schiavo, Rosa A., 1999. "A comparison between neural networks and chaotic models for exchange rate prediction," Computational Statistics & Data Analysis, Elsevier, vol. 30(1), pages 87-102, March.
    2. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
    3. Rodríguez-Vargas, Adolfo, 2020. "Forecasting Costa Rican inflation with machine learning methods," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 1(1).
    4. Olmedo,E. & Velasco, F. & Valderas, J.M., 2007. "Caracterización no lineal y predicción no paramétrica en el IBEX35/Nonlinear Characterization and Predictions of IBEX 35," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 25, pages 815-842, Diciembre.
    5. Strozzi, Fernanda & Comenges, José-Manuel Zaldívar, 2006. "Towards a non-linear trading strategy for financial time series," Chaos, Solitons & Fractals, Elsevier, vol. 28(3), pages 601-615.
    6. Thomakos, Dimitrios D. & Wang, Tao & Wille, Luc T., 2002. "Modeling daily realized futures volatility with singular spectrum analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 312(3), pages 505-519.
    7. Bordignon, Silvano & Lisi, Francesco, 2001. "Predictive accuracy for chaotic economic models," Economics Letters, Elsevier, vol. 70(1), pages 51-58, January.
    8. Hassani, Hossein & Silva, Emmanuel Sirimal & Gupta, Rangan & Das, Sonali, 2018. "Predicting global temperature anomaly: A definitive investigation using an ensemble of twelve competing forecasting models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 121-139.
    9. Hassani, Hossein & Rua, António & Silva, Emmanuel Sirimal & Thomakos, Dimitrios, 2019. "Monthly forecasting of GDP with mixed-frequency multivariate singular spectrum analysis," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1263-1272.
    10. Cao, Liangyue & Soofi, Abdol S., 1999. "Nonlinear deterministic forecasting of daily dollar exchange rates," International Journal of Forecasting, Elsevier, vol. 15(4), pages 421-430, October.
    11. Kück, Mirko & Freitag, Michael, 2021. "Forecasting of customer demands for production planning by local k-nearest neighbor models," International Journal of Production Economics, Elsevier, vol. 231(C).
    12. Nikola Gradojević & Vladimir Djaković & Goran Andjelić, 2010. "Random Walk Theory and Exchange Rate Dynamics in Transition Economies," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 57(3), pages 303-320, September.
    13. Strozzi, Fernanda & Zaldívar, José-Manuel & Zbilut, Joseph P., 2007. "Recurrence quantification analysis and state space divergence reconstruction for financial time series analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 487-499.
    14. Hassani, Hossein & Webster, Allan & Silva, Emmanuel Sirimal & Heravi, Saeed, 2015. "Forecasting U.S. Tourist arrivals using optimal Singular Spectrum Analysis," Tourism Management, Elsevier, vol. 46(C), pages 322-335.
    15. Papailias, Fotis & Thomakos, Dimitrios, 2017. "EXSSA: SSA-based reconstruction of time series via exponential smoothing of covariance eigenvalues," International Journal of Forecasting, Elsevier, vol. 33(1), pages 214-229.

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