Purpose – To develop an integrated approach to forecasting spot foreign exchange rates by incorporating some principles underlying long‐term dependence. Design/methodology/approach – The paper utilises the random‐walk framework to develop a stochastic forecast model wherein the sign...

Purpose – To develop an integrated approach to forecasting spot foreign exchange rates by incorporating some principles underlying long-term dependence. Design/methodology/approach – The paper utilises the random-walk framework to develop a stochastic forecast model wherein the sign...