Can the Random Walk Model be Beaten in Out-of-Sample Density Forecasts: Evidence from Intraday Foreign Exchange Rates

2003 ◽  
Author(s):  
Yongmiao Hong ◽  
Haitao Li ◽  
Feng Zhao
Keyword(s):  
Random Walk ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Random Walk Model ◽  
Foreign Exchange Rates ◽  
Sample Density ◽  
Out Of Sample ◽  
Density Forecasts

Do the foreign exchange rates really follow a random walk?

1987 ◽  
Vol 23 (3) ◽  
pp. 289-293 ◽  
Author(s):  
Benjamin J.C. Kim
Keyword(s):  
Random Walk ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Foreign Exchange Rates

Foreign Exchange Rates Don't Follow a Random Walk

2005 ◽  
Author(s):  
Hui Guo ◽  
Robert Savickas
Keyword(s):  
Random Walk ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Foreign Exchange Rates

Variance ratio tests of random walk for foreign exchange rates

1992 ◽  
Vol 38 (4) ◽  
pp. 457-465 ◽  
Author(s):  
Jorge L. Urrutia
Keyword(s):  
Random Walk ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Foreign Exchange Rates ◽  
Variance Ratio

An Empirical Investigation of Factors Affecting Stock Prices in Vietnam

2014 ◽  
pp. 74-89 ◽  
Author(s):  
Vinh Vo Xuan
Keyword(s):  
Exchange Rates ◽  
Crude Oil ◽  
Foreign Exchange ◽  
Stock Prices ◽  
Global Financial Crisis ◽  
Oil Prices ◽  
Foreign Exchange Rates ◽  
Factors Affecting ◽  
Crude Oil Prices ◽  
Before And After

This paper investigates factors affecting Vietnam’s stock prices including US stock prices, foreign exchange rates, gold prices and crude oil prices. Using the daily data from 2005 to 2012, the results indicate that Vietnam’s stock prices are influenced by crude oil prices. In addition, Vietnam’s stock prices are also affected significantly by US stock prices, and foreign exchange rates over the period before the 2008 Global Financial Crisis. There is evidence that Vietnam’s stock prices are highly correlated with US stock prices, foreign exchange rates and gold prices for the same period. Furthermore, Vietnam’s stock prices were cointegrated with US stock prices both before and after the crisis, and with foreign exchange rates, gold prices and crude oil prices only during and after the crisis.

Predicting fluctuations in foreign exchange rates

2013 ◽  
Author(s):  
D. W. Cross ◽  
C. J. Hinde ◽  
M. D. Sykora
Keyword(s):  
Exchange Rates ◽  
Foreign Exchange ◽  
Foreign Exchange Rates

Bounded influence estimator for GARCH models: evidence from foreign exchange rates

2010 ◽  
Vol 42 (11) ◽  
pp. 1437-1445 ◽  
Author(s):  
Jinliang Li ◽  
Chihwa Kao ◽  
Wei David Zhang
Keyword(s):  
Exchange Rates ◽  
Foreign Exchange ◽  
Garch Models ◽  
Foreign Exchange Rates ◽  
Bounded Influence
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