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Year of publication
Subject
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Random walk 1,183 Random Walk 1,096 Theorie 411 Theory 402 random walk 340 Efficient market hypothesis 254 Effizienzmarkthypothese 251 Börsenkurs 249 Share price 244 Schätzung 211 Estimation 201 Wechselkurs 200 Exchange rate 196 Prognoseverfahren 192 Zeitreihenanalyse 192 Time series analysis 188 Forecasting model 185 Aktienmarkt 165 Stock market 165 Prognose 91 Forecast 89 Einheitswurzeltest 85 Unit root test 84 Volatility 84 USA 83 Volatilität 81 equation 80 United States 79 Kapitaleinkommen 78 Capital income 77 statistics 77 correlation 76 equations 71 time series 68 forecasting 67 India 62 Indien 60 Stochastischer Prozess 60 Stochastic process 57 covariance 56
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Online availability
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Free 617 Undetermined 349 CC license 13
Type of publication
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Article 878 Book / Working Paper 651
Type of publication (narrower categories)
All
Article in journal 601 Aufsatz in Zeitschrift 601 Working Paper 226 Arbeitspapier 189 Graue Literatur 180 Non-commercial literature 180 Aufsatz im Buch 31 Book section 31 Article 20 Hochschulschrift 15 Thesis 9 Bibliografie enthalten 4 Bibliography included 4 Forschungsbericht 4 Collection of articles written by one author 3 Conference paper 3 Dissertation u.a. Prüfungsschriften 3 Handbook 3 Handbuch 3 Konferenzbeitrag 3 Sammlung 3 Case study 2 Fallstudie 2 Lehrbuch 2 Rezension 2 Systematic review 2 Textbook 2 Übersichtsarbeit 2 Collection of articles of several authors 1 Elektronischer Datenträger 1 Reprint 1 Sammelwerk 1 research-article 1
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Language
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English 1,182 Undetermined 303 German 23 Spanish 12 Czech 2 Polish 2 Portuguese 2 Croatian 1 Russian 1 Slovak 1
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Author
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West, Kenneth D. 25 Engel, Charles 18 Moosa, Imad A. 15 Burns, Kelly 13 Gupta, Rangan 13 Sarno, Lucio 13 Schlicht, Ekkehart 13 Maheswaran, S. 11 Smyth, Russell 11 Della Corte, Pasquale 10 Kano, Takashi 10 Malkiel, Burton G. 10 Bacchetta, Philippe 9 Balcilar, Mehmet 9 Kamaiah, Bandi 9 Lo, Andrew W. 9 Narayan, Paresh Kumar 9 Baghestani, Hamid 8 Pincheira, Pablo 8 Scalas, Enrico 8 Alquist, Ron 7 Guidolin, Massimo 7 Hiremath, Gourishankar S 7 Hiremath, Gourishankar S. 7 Katzke, Nico 7 Krämer, Walter 7 Opong, Kwaku K. 7 Sattarhoff, Cristina 7 Tabak, Benjamin Miranda 7 Thornton, Daniel L. 7 Van Wincoop, Eric 7 Belaire-Franch, Jorge 6 Ca'Zorzi, Michele 6 Chinn, Menzie David 6 Harvey, Andrew C. 6 MacKinlay, Archie Craig 6 Pick, Andreas 6 Schindler, Felix 6 Sestieri, Giulia 6 Shiller, Robert J. 6
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Institution
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International Monetary Fund (IMF) 87 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 23 National Bureau of Economic Research 15 Cowles Foundation for Research in Economics, Yale University 8 EconWPA 7 Department of Econometrics and Business Statistics, Monash Business School 4 International Monetary Fund 4 C.E.P.R. Discussion Papers 3 Department of Economics, Faculty of Economic and Management Sciences 3 European Central Bank 3 Banco Central do Brasil 2 Duke University, Department of Economics 2 Econometric Society 2 Economic Research Service, Department of Agriculture 2 Federal Reserve Bank of St. Louis 2 Graduate School of Economics, Hitotsubashi University 2 Instituto Valenciano de Investigaciones Económicas (IVIE) 2 Aarhus Universitet / Afdeling for Nationaløkonomi 1 Agency for Economic Analysis and Forecasting, Ministry of Finance 1 BANCO DE LA REPÚBLICA 1 Banco Central de Reserva del Perú 1 Banco de la Republica de Colombia 1 Center for Nonlinear Dynamics in Economics and Finance (CeNDEF), Faculteit Economie en Bedrijfskunde 1 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 1 Centre Emile Bernheim, Solvay Brussels School of Economics and Management 1 Centre for International Economic Studies 1 Centro de Estudios Macroeconómicos de Argentina / Universidad 1 Christian-Albrechts-Universität zu Kiel / Institut für Weltwirtschaft 1 Crawford School of Public Policy, Australian National University 1 Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance 1 Departamento de Análisis Económico: Teoría Económica e Historia Económica, Facultad de Ciencias Económicas y Empresariales 1 Department of Economics and Finance, College of Business and Economics 1 Department of Economics, European University Institute 1 Department of Economics, Fakulteit Ekonomiese en Bestuurswetenskappe 1 Department of Economics, National University of Singapore 1 Department of Economics, University of California-San Diego (UCSD) 1 Deutsche Bank Research 1 Economic Research Southern Africa (ERSA) 1 Economics Department, University of Wisconsin-Whitewater 1 Erasmus University Rotterdam, Econometric Institute 1
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Published in...
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IMF Working Papers 85 Physica A: Statistical Mechanics and its Applications 65 MPRA Paper 20 Applied economics 17 Applied financial economics 15 International review of economics & finance : IREF 13 NBER working paper series 13 Working paper / National Bureau of Economic Research, Inc. 13 NBER Working Paper 11 Working paper 11 Applied economics letters 10 Economics letters 10 Econometric theory 9 Cowles Foundation Discussion Papers 8 Finance India : the quarterly journal of Indian Institute of Finance 8 International journal of economics and finance 8 International journal of theoretical and applied finance 8 Journal of forecasting 8 Mathematics of operations research 8 Stochastic Processes and their Applications 8 Economic modelling 7 Journal of banking & finance 7 Journal of econometrics 7 Probability theory and related fields : continuation of Zeitschrift für Wahrscheinlichkeitstheorie 7 Research in international business and finance 7 Statistics & Probability Letters 7 The empirical economics letters : a monthly international journal of economics 7 Working Paper 7 Finance research letters 6 International review of financial analysis 6 Mathematics and Computers in Simulation (MATCOM) 6 Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 6 Cambridge working papers in economics 5 Discussion paper / Centre for Economic Policy Research 5 ECB Working Paper 5 Economics Bulletin 5 Finance 5 Operations research letters 5 Working paper series / European Central Bank 5 Annals of the Institute of Statistical Mathematics 4
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Source
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ECONIS (ZBW) 1,055 RePEc 404 EconStor 57 USB Cologne (EcoSocSci) 8 BASE 2 Other ZBW resources 2 ArchiDok 1
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Showing 1 - 50 of 1,298
 
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Bitcoin market efficiency analysis pre- and post-COVID-19 pandemic : an interrupted time series and ARIMAX approach
Makoni, Tendai; Mushori, Providence; Chikobvu, Delson - 2026
The COVID-19 pandemic constitutes one of the most significant exogenous shocks to global financial markets in recent history, raising questions about the robustness of market efficiency under extreme uncertainty. This study examines whether the pandemic affected the weak-form efficiency of the...
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Forecasting economic growth with traditional methods and a simple neural network model
Li, Shujie; Feng, Yuanhua - 2026
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Quantitative easing effectiveness : evidence from Euro private assets
Kirikos, Dimitris G. - 2024
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A runs test for stock-market prices with an unobserved trend
Herger, Nils - 2024
To analyze whether stock-market prices follow a random walk, the algebraic sign of their returns has been compared with a coin toss, which is a prominent example for a Bernoulli trial with equiprobable outcomes. Like coin tosses, signed returns lend themselves for a simple runs test for...
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A runs test for stock-market prices with an unobserved trend
Herger, Nils - 2024
Book / Working Paper
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Wine market efficiency : is glass half full or half empty?
Shynkevich, Andrei - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015330734
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The gambler’s ruin with asymmetric payoffs
Whelan, Karl - 2025
The gambler's ruin is usually presented as a repeated game where the gambler can either win or lose one unit. We examine cases where the profits from winning gambles are multiple times the stake at risk, with the expected profit per gamble being either zero, positive or negative. For positive...
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Forecasting the daily exchange rate of the UK pound sterling against the US dollar
Darvas, Zsolt M.; Schepp, Zoltán - 2025
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Subjective probabilities under behavioral heuristics
Rahman, Oriana; Semenov, Andrei - 2025
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Fundamentals models versus random walk : evidence from an emerging economy
Mendonça, Helder Ferreira de; Vereda, Luciano; … - 2025
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Random walks into democracy and back : the case against causal explanations of democratization
Apolte, Thomas - 2025
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Audit report readability and information efficiency : evidence from the Tehran Stock Exchange
Rajabalizadeh, Javad; Schadewitz, Hannu - 2025
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Age-gender-country-specific death rates modelling and forecasting : a linear mixed-effects model
Dastranj, Reza; Kolář, Martin - 2025
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A discrete-time homing problem with two optimizers
Lefebvre, Mario - 2023
A stochastic difference game is considered in which a player wants to minimize the time spent by a controlled one-dimensional symmetric random walk {𝑋𝑛,𝑛=0,1,…} in the continuation region 𝐶:={1,2,…}, and the second player seeks to maximize the survival time in C. The process...
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A discrete-time homing problem with two optimizers
Lefebvre, Mario - 2023
Article
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The modeling of earnings per share of Polish companies for the post-financial crisis period using random walk and ARIMA models
Kuryłek, Wojciech - 2023
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The modeling of earnings per share of Polish companies for the post-financial crisis period using random walk and ARIMA models
Kuryłek, Wojciech - 2023
Article
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Are capital markets turning efficient? : need for financial market efficiency index
Arora, Ruchi; Mehra, Rishi - 2023
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Revisiting the long memory in global stock market returns : an empirical analysis
Mishra, Ashok Kumar; Mishra, Sibanjan - 2025
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Forecasting the yield curve for the Eurozone and USA using standard methods and machine learning approach
Orlovic, Zrinka; Jurcevic, Jura; Zoricic, Davor - 2025
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Overreaction and underreaction to new information and the directional forecast of exchange rates
Semenov, Andrei - 2024
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Reconciling Random Walks and Predictability : A Dual- Component Model of Exchange Rate Dynamics
Bakker, Bas - 2024
This paper addresses a key puzzle in international finance: whether exchange rates follow a random walk or exhibit predictable patterns. We demonstrate that exchange rates can possess a unit root while maintaining substantial predictability over certain horizons. Our model combines a stochastic...
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Placebo in the random walk of stock price : momentum effect of corporate site visits
Yang, Jinyu; Xia, Guoen; Dong, Dayong - 2024
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Charting the financial odyssey : a literature review on history and evolution of investment strategies in the stock market : 1900-2022
Jagirdar, Sharneet Singh; Gupta, Pradeep Kumar - 2024
Purpose The present study reviews the literature on the history and evolution of investment strategies in the stock market for the period from 1900 to 2022. Conflicts and relationships arising from such diverse seminal studies have been identified to address the research gaps....
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Exchange rates and fundamentals : forecasting with long maturity forward rates
Darvas, Zsolt M.; Schepp, Zoltán - 2024
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A heuristic method to solve an assignment problem using a random walk approximation
Monteiro, Léo; Tremblay, Hugo; Séguin, Sara - 2024
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Analysts versus the random walk in financial forecasting : evidence from the Czech National Bank's Financial Market Inflation Expectations survey
Kladívko, Kamil; Österholm, Pär - 2024
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Analysts versus the random walk in financial forecasting : evidence from the Czech National Bank's Financial Market Inflation Expectations Survey
Kladívko, Kamil; Österholm, Pär - 2022
Book / Working Paper
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Higher-order assortativity for directed weighted networks and Markov chains
Arcagni, Alberto; Cerqueti, Roy; Grassi, Rosanna - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014573972
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Are African stock markets efficient? : a comparative analysis between six African markets, the UK, Japan and the USA in the period of the pandemic
Dias, Rui; Pereira, João M.; Carvalho, Luísa Cagica - 2022
The aim of this study is to test and compare the efficient market hypothesis, in its weak form, on the stock markets of Botswana, Egypt, Kenya, Morocco, Nigeria, South Africa, Japan, the UK and the USA from 2 September 2019 to 2 September 2020. This study is based on the following research...
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Estimating time-varying coefficients with Gretl using the VC method
Schlicht, Ekkehart - 2022
This paper documents the function and use of the Gretl function package VCwrapper.pdf that implements the VC method for estimating time-varying coefficients in linear models as described in Schlicht (2021). It builds on the VCC program by Schlicht (2021a), is easy to use and highly configurable....
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Estimating time-varying coefficients with Gretl using the VC method
Schlicht, Ekkehart - 2022
Book / Working Paper
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The U-shaped law of high-growth firms
Arata, Yoshiyuki; Miyakawa, Daisuke; Mori, Katsuki - 2023
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A century-long analysis of global warming and earth temperature using a random walk with drift approach
Wang, Leon; Wang, Leigh; Li, Yang; Wang, John - 2023
Climate change poses the most significant threat to humanity today. This study examines the global warming trend by analyzing temperature changes over the past century, uncovering alarming results. Various models, including the Random Walk with Drift approach with R programming language, have...
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Mean-reversion risk and the random walk hypothesis
Jones, C. Kenneth - 2023
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Regional stock market efficiency at weak form after the Covid-19 vaccination approval
Saleem, Awaz Mohamed; Mustafa, Hazheen Mardan; Asaad, … - 2023
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Random walk forecasts of stationary processes have low bias
Lunsford, Kurt G.; West, Kenneth D. - 2023
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014340065
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Forward Jump Random Walk on a Cycle Graph and Its Hitting Time
Kaikeaw, Rachanai; Marupanthorn, Pasin - 2023
This paper presents an investigation into a random walk on a cycle graph with restricted forward movement at most $m$ steps, known as the forward jump random walk. The study derives precise formulas for the probability mass function of the arriving state, the hitting time, and its expected value...
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Random Walk and Price Convergence in the Commodities Market in India
A Joshi, Dr. Nisarg; Mehta, Dhyani - 2023
This paper investigates whether the commodities market in India follows the random walk process and whether they deviate from the random walk theory (mean reversion). Daily log returns of the commodity future index (MCXCOMDEX) and three sectoral indices are examined using the Augmented...
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Random walk and modelling stock return : evidence from international stock markets
Enow, Samuel Tabot - 2023
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Market participants or the random walk : who forecasts better? : evidence from micro-level survey data
Kiss, Tamás; Kladívko, Kamil; Silfverberg, Oliwer; … - 2023
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Market participants or the random walk : who forecasts better? : evidence from micro-level survey data
Kiss, Tamás; Kladivko, Kamil; Silfverberg, Oliwer; … - 2023
Book / Working Paper
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Liquidity premiums, interest rate differentials, and nominal exchange rate prediction
Wang, Yi-Chiuan; Wu, Jyh-lin - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014443191
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The mean squared prediction error paradox
Pincheira, Pablo; Hardy, Nicolás - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015110448
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A random walk for agricultural total factor productivity
Vercammen, James Alfred - 2024
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Application of Taylor rule fundamentals in forecasting exchange rates
Agyapong, Joseph - 2021
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Application of Taylor rule fundamentals in forecasting exchange rates
Agyapong, Joseph - 2021
Article
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Do short selling and margin trading affect price randomness?
Enkhzul, Mendee; Jun, Sang-Gyung - 2021
Purpose: Both short sellers and margin traders believe in active investment. However, they have the opposite opinions about the prediction of future share price direction: while short sellers are those who predict future price declines, investors buying on margin are those who predict future...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012695861
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A study on market efficiency using data from Shanghai stock exchange and Shenzhen stock exchange
Duan, Guoxi; Tanizaki, Hisashi - 2021
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012799610
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A study on the level of market efficiency based on CSI 300 and 300 constituent stocks
Duan, Guoxi; Tanizaki, Hisashi - 2021
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012799614
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A study on the level of market efficiency in five markets
Duan, Guoxi; Tanizaki, Hisashi - 2021
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012799618
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Do extreme market value ratios mean that the market is informationally inefficient? : a study of the Warsaw Stock Exchange
Karasiński, Jacek; Zduńczak, Patryk - 2021
Aim/purpose - The aim of this paper is to verify whether extremely high values of market value ratios are the symptoms of informational inefficiency of the market in a weak form. The authors intend to examine whether these phenomena co-occur with each other. Design/methodology/approach -...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013166614
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Sample-path large deviations for unbounded additive functionals of the reflected random walk
Bazhba, Mihail; Blanchet, Jose; Rhee, Chang-Han; Zwart, Bert - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015211764
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A news sentiment index and its asymmetric effect on market liquidity for the Chinese stock market
Wang, Zhenxin; Gao, Da; Wang, Xinyu; Wang, Shaoping - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015447368
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Energy information and exchange rate forecasting
Feng, Yuqing; Wei, Chaojian; Zhao, Xiaoxia; Tian, Linxing - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015449226
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Random Walk Forecasts of Stationary Processes Have Low Bias
West, Kenneth D.; Lunsford, Kurt G. - 2025
We study the use of a misspecified overdifferenced model to forecast the level of a stationary scalar time series. Let x(t) be the series, and let bias be the sample average of a series of forecast errors. Then, the bias of forecasts of x(t) generated by a misspecified overdifferenced ARMA model...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015450866
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Random walk hypothesis : a review of the effectiveness of the normality test, Ljung-Box Q statistic & variance ratio test
Roy, Dipen; Bhaumik, Dipankar; Paul, Raju - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015619620
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