کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
964827 | 930626 | 2009 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Does a “correct” parameter estimate tell a better story about foreign exchange market efficiency?
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper demonstrates that the estimated parameters in previous research, with wrong signs and absurd sizes, do not indicate market inefficiency and market behavior as they appear to. In the real world where forecasting errors are substantially large, a “correct” or an “unreasonable” parameter estimate renders almost identical results. Specifically, we demonstrate that an absolutely unbiased predictor is irrelevant empirically, and the unknowingly pursuit of absolute unbiasedness is misleading. What needs to be verified is a sufficiently unbiased predictor, which may appear to be incredibly biased under the circumstances with expected, specified, probabilistic errors.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 28, Issue 2, March 2009, Pages 183-197
Journal: Journal of International Money and Finance - Volume 28, Issue 2, March 2009, Pages 183-197
نویسندگان
Peijie Wang, Ping Wang,