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Testing the random walk hypothesis: evidence for the Budapest stock exchange

✍ Scribed by Dockery, E.; Vergari, F.


Book ID
121680605
Publisher
Taylor and Francis Group
Year
1997
Tongue
English
Weight
229 KB
Volume
4
Category
Article
ISSN
1350-4851

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Testing the random walk hypothesis for r
✍ In Choi πŸ“‚ Article πŸ“… 1999 πŸ› John Wiley and Sons 🌐 English βš– 183 KB πŸ‘ 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