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2003•Journal of International EconomicsRequires access

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

Lutz Kilian, Mark P. Taylor

Open publisher page 795 citations

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Key concepts: Random walk, Predictability, Econometrics, Economics, Autoregressive model, Exchange rate, Volatility (finance), Nonlinear system

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Why is it so difficult to beat the random walk forecast of exchange rates? — Research Paper | ScholarLens