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Testing for a nonlinear relationship among fundamentals and exchange rates in the ERM

โœ Scribed by Yue Ma; Angelos Kanas


Book ID
117427958
Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
110 KB
Volume
19
Category
Article
ISSN
0261-5606

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Testing the random walk hypothesis for r
โœ In Choi ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 183 KB ๐Ÿ‘ 1 views

This paper tests the random walk hypothesis for the log-dierenced monthly US real exchange rates versus some major currencies. The tests we use are variance ratio test, Durlauf's (1991) spectral domain tests and Andrews and Ploberger's (1996) optimal tests. The variance ratio test is calculated by u