Random Walk and Forward Exchange Rates: A Spectral Analysis

Roger B. Upson

Journal of Financial and Quantitative Analysis, 1972, vol. 7, issue 4, 1897-1905

Abstract: This paper examines the random-walk hypothesis in the forward exchange market by applying spectral analysis to the three-month forward rates for dollars against sterling in the period 1961–1967.

Date: 1972
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