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

Jorge Belaire-Franch and Kwaku Opong

Applied Economics Letters, 2010, vol. 17, issue 12, 1145-1151

Abstract: This study utilizes variance ratio tests based on the subsampling approach to test the behaviour of euro-based exchange rates markets. Results are mixed, although the random walk behaviour is dominant among the three major currencies namely the Japanese yen, the US dollar and the British pound.

Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:17:y:2010:i:12:p:1145-1151

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DOI: 10.1080/00036840902817581

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