articleJournal of International EconomicsApr 5, 2003Closed access

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

LKLutz Kilian MPMark P. Taylor

University of Michigan–Ann Arbor · European Central Bank · +2 more institutions

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Abstract

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786

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References: 59

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Authors

2

LK
Lutz KilianCorresponding
University of Michigan–Ann Arbor, European Central Bank, Centre for Economic Policy Research
MP
Mark P. Taylor
University of Warwick, Centre for Economic Policy Research

Topics & keywords

Topics

Keywords

Random walk
Predictability
Econometrics
Economics
Autoregressive model
Exchange rate
Volatility (finance)
Nonlinear system

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