A Simple Out-of-Sample Test of Predictability against the Random Walk Benchmark

INIS

• benchmarks 100%
• randomness 100%
• size 50%
• hypothesis 50%
• modifications 50%
• applications 50%
• power 50%
• testing 50%
• simulation 50%
• exceptions 50%
• statistics 50%
• commodities 50%
• monte carlo method 50%

Keyphrases

• Monte Carlo Simulation 100%
• Random Walk 100%
• Out-of-sample Performance 100%
• Commodity Currencies 100%
• Drift-free 100%

Economics, Econometrics and Finance

• Monte Carlo Simulation 100%