Concepedia

When the Walk is Not Random: Commodity Prices and Exchange Rates

Emanuel Kohlscheen, Fernando Avalos, Andreas Schrimpf

SSRN Electronic Journal · 2016 · 60 citations · 33 references

Open access

Concepts

Social SciencesEconomicsCommodity MarketsEconometricsTime Series AnalysisCommodity Price DynamicsCommodity Price ForecastingExchange Rate DeterminationExchange RatesForeign Exchange MarketsForeign Exchange RiskCommodity Price Forecast EvaluationCommodity Price Time Series AnalysisCurrency ForecastingHigh-frequency Commodity Price ForecastingOut-of-sample Forecast EvaluationPredictive PerformancePseudo Out-of-sample ForecastingRandom Walk Hypothesis

References

33

Comparing Predictive Accuracy

Francis X. Diebold, Roberto S. Mariano · Journal of Business and Economic Statistics · 1995 · 4.8K citations

Public Health, Economics, Causal Inference +15

Approximately normal tests for equal predictive accuracy in nested models

Todd E. Clark, Kenneth D. West · Journal of Econometrics · 2006 · 2.4K citations

Computing, Biostatistics, Predictive Analytics +13

Comparing Predictive Accuracy

Francis X. Diebold, Roberto S. Mariano · Journal of Business and Economic Statistics · 1995 · 2.4K citations

Public Health, Economics, Causal Inference +15

Forward and spot exchange rates

Eugene F. Fama · Journal of Monetary Economics · 1984 · 2.2K citations

Social Sciences, Economics, Finance +12

Exchange Rates and Fundamentals

Charles Engel, Kenneth D. West · Journal of Political Economy · 2005 · 770 citations

Social Sciences, Economics, Asset Pricing +8