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Are there any studies out there that suggest whether currencies exhibit a stable drift?
Usually, studies seem to pertain to the forecasting ability of a particular factor. The benchmark is whether it beats the "random walk without drift", or the "random walk with drift", estimated as an AR(1) with and without constant and no other predictor. The predictability seems to time-vary.
Usually, studies seem to pertain to the forecasting ability of a particular factor. The benchmark is whether it beats the "random walk without drift", or the "random walk with drift", estimated as an AR(1) with and without constant and no other predictor. The predictability seems to time-vary.
