Joint Variance Ratio Tests of the Martingale Hypothesis for Exchange Rates
There is considerable interest in whether exchange rates behave like martingales. Liu and He tested the martingale hypothesis for exchange rates using the variance-ratio methodology of Lo and MacKinlay. They found that exchange rates have violated the martingale property since the inception of float...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
1997
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| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/2186 https://ink.library.smu.edu.sg/context/lkcsb_research/article/3185/viewcontent/Joint_Variance_Ratio_Tests_of_the_Martingale_Hypothesis_pv_1997.pdf |
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| Institution: | Singapore Management University |
| Language: | English |