Why is it so difficult to beat the random walk forecast of exchange rates?

2003/04/05 by Lutz Kilian, Mark P. Taylor · 4 citations
Economics, Econometrics and Finance · #Monetary Policy and Economic Impact #Market Dynamics and Volatility #Complex Systems and Time Series Analysis

paper · doi:10.1016/s0022-1996(02)00060-0

Citations

• Banking on currency forecasts: How predictable is change in money?

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