Search Results - subject:"random walk model"

Point forecasts of the price of crude oil : an attempt to "beat" the end-of-month random-walk benchmark

Nonejad, Nima - In: Empirical economics : a quarterly journal of the … 67 (2024) 4, pp. 1497-1539

Persistent link: https://www.econbiz.de/10015141979

Testing weak form of stock market efficiency at the Macedonian stock exchange

Angelovska, Julijana - In: UTMS Journal of Economics 9 (2018) 2, pp. 133-144

Walk Model and GARCH (1,1) model provides evidence that Macedonian Stock Market is not weak form efficient. The evidence of …. Tests are performed for daily returns on sample spanning from January 4th 2005 to April 2nd 2018. The application of Random …

Persistent link: https://www.econbiz.de/10014465749

Testing weak form of stock market efficiency at the Macedonian stock exchange

Angelovska, Julijana - In: UTMS journal of economics / University of Tourism and … 9 (2018) 2, pp. 133-144

Persistent link: https://www.econbiz.de/10012178440

Exchange Rate Determination and Out of Sample Forecasting: Cointegration Analysis

Hina, Hafsa; Qayyum, Abdul - Volkswirtschaftliche Fakultät, … - 2015

able to beat the naïve random walk model on the basis of root mean square error, Theil’s U coefficient and Diebold and …

Persistent link: https://www.econbiz.de/10011168460

Analysis of Forecasting Performance of Investors in Turkey Within Framework of the Random Walk Model (Türkiye’de Yatırımcıların Öngörü Performanslarının Rassal Yürüyüş Modeli Çerçe...

Tanrıöver, Banu; Çöllü, Duygu Arslantürk - In: Business and Economics Research Journal 6 (2015) 2, pp. 127-139

The purpose of this study is to test the weak form efficiency within framework of the random walk model by using price … price movements of BIST-100 Index has been tested by using Ljung-Box and LM analysis. The second assumption of random walk … model, randomness of expectations of investor and each of information entering market has been analysed with BDS test …

Persistent link: https://www.econbiz.de/10011268335

Stock market efficiency of Ghana stock exchange: An objective analysis

Ayentimi, Desmond Tutu; Mensah, Anthony Ekow; Naa-Idar, … - In: International Journal of Management, Economics and … 2 (2013) 2, pp. 54-75

There has been profuse development in the stock markets all over the world in the past decades. The 21st century has seen intriguing changes in the stock markets in both developed and emerging economies. This paper examines the weak-form efficiency of listed firms on the Ghana Stock Exchange...

Persistent link: https://www.econbiz.de/10010314836

Outperforming the naïve Random Walk forecast of foreign exchange daily closing prices using Variance Gamma and normal inverse Gaussian Levy processes

Teneng, Dean - Volkswirtschaftliche Fakultät, … - 2013

(NIG) and Variance Gamma (VG) Levy processes outperform the naïve Random Walk model. We use the open software R to estimate …

Persistent link: https://www.econbiz.de/10011110600

Time-Varying Parameters of Inflation Model in Nepal: State Space Modeling

T.P. Koirala Ph.D. - In: 2014, Volume 26, Issue 2 25 (2013) 2, pp. 66-77

This paper attempts to investigate the stability of time-varying parameters of the random walk model of inflation in … analysis. Applying the Kalman Filter technique for the estimation of coefficients of random walk model, we found non …

Persistent link: https://www.econbiz.de/10010721281

Time-varying Parameters of Inflation Model in Nepal: State Space Modeling

T.P. Koirala Ph.D. - Nepal Rastra Bank - 2013

Persistent link: https://www.econbiz.de/10010756175

Stock market efficiency of Ghana stock exchange : an objective analysis

Ayentimi, Desmond Tutu; Mensah, Anthony Ekow; Naa-Idar, … - In: International journal of management, economics and … 2 (2013) 2, pp. 54-75

Persistent link: https://www.econbiz.de/10009753460