VARIANCE RATIO TESTS OF RANDOM-WALK FOR FOREIGN-EXCHANGE RATES

被引：9

作者：

URRUTIA, JL

机构：

[1] Loyola University of Chicago, Chicago, IL

来源：

ECONOMICS LETTERS | 1992年 / 38卷 / 04期

关键词：

D O I：

10.1016/0165-1765(92)90034-V

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The paper presents variance ratio tests of the random walk hypothesis for foreign exchange rates. The data correspond to weekly exchange rates for four foreign currencies: British Pound, German Mark, Japanese Yen, and Swiss Franc. It is found that the series contain large permanent component and small temporary component, which suggests that exchange rates follow a random walk.

引用

页码：457 / 465

页数：9

共 17 条

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