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    题名: A Re-examination of Variance-Ratio Test of Random Walks in Foreign Exchange Rates
    作者: 張元晨
    日期: 2004
    上传时间: 2008-11-05 16:58:15 (UTC+8)
    摘要: This paper employs a variance ratio test to reexamine the random walk hypothesis for the Canadian dollar, French franc, Deutsche mark, Japanese yen and British pound. In addition to standard normal test statistics, the bootstrap resampling technique is used to calculate the significance levels of variance ratio statistics over the period 7 August 1974 to 30 December 1998. The results provide evidence rejecting the random walk hypothesis for the Japanese yen over the entire sample, while the results for the other four currencies are inconclusive. Furthermore, subperiod results show that from 1989 onwards the random walk hypothesis cannot be rejected for the Canadian dollar, French franc, Deutsche mark, and British pound.
    關聯: Applied Financial Economics, 14, 671-679
    数据类型: article
    DOI 連結: http://dx.doi.org/10.1080/0960310042000233449
    DOI: 10.1080/0960310042000233449
    显示于类别:[財務管理學系] 期刊論文

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