Volume 4 Issue 4 (1988)

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Models of exchange rates

Wolff, C.C.P.
Pages 605-607
Abstract

In this note we compare the results of several published papers on exchange rate forecasting. With regard to univariate time series models, we confirm the result that such models, on average, do not outperform the simple random walk forecasting rule. This conclusion corrects results reported in this Journal by Alexander and Thomas (1987).

Keywords: Exchange rates , Kalman filter , Random walk , Forecasting results , Comparison
FULL TEXT LINK
http://dx.doi.org/10.1016/0169-2070(88)90137-9
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