Testing for random walk in euro exchange rates using the subsampling approach

被引：10

作者：

Belaire-Franch, Jorge ^{[2
]}

Opong, Kwaku K. ^{[1
]}

机构：

[1] Univ Glasgow, Dept Accounting & Finance, Glasgow G12 8QQ, Lanark, Scotland

[2] Univ Valencia, Dept Econ Anal, Valencia 46022, Spain

来源：

APPLIED ECONOMICS LETTERS | 2010年 / 17卷 / 12期

关键词：

VARIANCE RATIO TEST;

D O I：

10.1080/00036840902817581

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study utilizes variance ratio tests based on the subsampling approach to test the behaviour of euro-based exchange rates markets. Results are mixed, although the random walk behaviour is dominant among the three major currencies namely the Japanese yen, the US dollar and the British pound.

引用

页码：1145 / 1151

页数：7

共 6 条

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