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Can the Random Walk Model be Beaten in Out-Of-Sample Density Forecasts? Evidence from...
Density forecasts GARCH Intraday exchange rate Jumps Maximum likelihood estimation Nonlinear time series Out-of-sample forecasts Regime-switching
2011/4/2
It has been documented that random walk outperforms most economic structural and time series models in out-of-sample forecasts of the conditional mean dynamics of exchange rates. In this paper, we stu...
Can the Random Walk Model be Beaten in Out-of-Sample Density Forecasts? Evidence from Intraday Forei
Density forecasts GARCH Intraday exchange rate Jumps Maximum likelihood estimation Nonlinear time series Out-of-sample forecasts Regime-switching
2011/4/6
It has been documented that random walk outperforms most economic structural and time
series models in out-of-sample forecasts of the conditional mean dynamics of exchange rates.