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Original Articles

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

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Pages 1145-1151 | Published online: 19 Jun 2009

References

  • Belaire-Franch , J. and Opong , K. K. 2003 . Some evidence of random walk behaviour of euro exchange rates using ranks and signs . Journal of Banking and Finance , 29 : 1631 – 43 .
  • Lo , A. W. and MacKinlay , A. C. 1988 . Stock market prices do not follow random walks: evidence from a simple specification test . The Review of Financial Studies , 1 : 41 – 66 .
  • Lo , A. W. and MacKinlay , A. C. 1989 . The size and power variance ratio test in finite samples: a Monte Carlo investigation . Journal of Econometrics , 40 : 203 – 38 .
  • Politis , D. N. , Romano , J. P. and Wolf , M. 1997 . Subsampling heteroskedastic time series . Journal of Econometrics , 81 : 281 – 317 .
  • Romano , J. P. and Wolf , M. 2001 . Subsampling intervals in autoregressive models with linear time trend . Econometrica , 69 : 1283 – 314 .
  • Whang , Y.-J. and Kim , J. 2003 . A multiple variance ratio test using subsampling . Economics Letters , 79 : 225 – 30 .

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