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The random walk hypothesis of the exchange rate: Implications for a risk premium

✍ Scribed by Emmanuel Pikoulakis; Terence C. Mills


Book ID
116102103
Publisher
Elsevier Science
Year
1994
Tongue
English
Weight
178 KB
Volume
45
Category
Article
ISSN
0165-1765

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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