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Are exchange rate movements a random walk?

โœ Scribed by M.Ercan Kumcu


Book ID
116099229
Publisher
Elsevier Science
Year
1983
Tongue
English
Weight
187 KB
Volume
13
Category
Article
ISSN
0165-1765

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Random walk hypothesis in exchange rate
โœ Chia-Shang J. Chu; Hsin-Min Lu ๐Ÿ“‚ Article ๐Ÿ“… 2006 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 203 KB

## Abstract An econometric model for exchange rate based on the behavior of dynamic international asset allocation is considered. The capital movement intensity index is constructed from the adjustment of a fully hedged international portfolio. Including this index as an additional explanatory vari