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Is the dollar/ECU exchange rate a random walk?. (1998). Kellard, Neil ; Ennew, Christine ; Rayner, Toni ; Newbold, Paul.
In: Applied Financial Economics.
RePEc:taf:apfiec:v:8:y:1998:i:6:p:553-558.

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Cited: 6

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Cites: 11

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Cocites: 50

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  1. Predictive modeling in turbulent times – What Twitter reveals about the EUR/USD exchange rate. (2014). Janetzko, Dietmar .
    In: Netnomics.
    RePEc:kap:netnom:v:15:y:2014:i:2:p:69-106.

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  2. Using Twitter to Model the EUR/USD Exchange Rate. (2014). Janetzko, Dietmar.
    In: Papers.
    RePEc:arx:papers:1402.1624.

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  3. Investment intensity of currencies and the random walk hypothesis: Cross-currency evidence. (2011). Eun, Cheol S. ; Chuluun, Tuugi ; Kili, Rehim .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:2:p:372-387.

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  4. Foreign exchange, fractional cointegration and the implied-realized volatility relation. (2010). Kellard, Neil ; Dunis, Christian ; Sarantis, Nicholas .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:4:p:882-891.

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  5. Forecasting exchange rates using genetic algorithms. (2003). Alvarez, Alberto ; Alvarez-Diaz, Marcos.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:10:y:2003:i:6:p:319-322.

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References

References cited by this document

  1. Box G. E. P., 1970. Time Series Analysis, Forecasting and Control
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  2. Cochrane, John H.. (1988). How Big Is the Random Walk in GNP?. In: Journal of Political Economy, 96 5 pp. 893-920.

  3. Cornell, Bradford. (1977). Spot rates, forward rates and exchange market efficiency. In: Journal of Financial Economics, 5 1 pp. 55-65.

  4. Frenkel, Jacob A.. (1981). Flexible Exchange Rates, Prices, and the Role of "News": Lessons from the 1970s. In: Journal of Political Economy, 89 4 pp. 665-705.

  5. Lo, Andrew W. ; MacKinlay, A. Craig. (1988). Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test. In: Rev. Financ. Stud., 1 1 pp. 41-66.

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  7. Meese, Richard A. ; Rogoff, Kenneth. (1983). Empirical exchange rate models of the seventies. In: Journal of International Economics, 14 1-2 pp. 3-24.

  8. Mussa M., 1979. Policies for Employment, Prices and Exchange Rates
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  9. Ng, Serena ; Perron, Pierre. (1995). Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag. In: Journal of the American Statistical Association, 90 429 pp. 268.
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  10. Robinson, P.M.. (1991). Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression. In: Journal of Econometrics, 47 1 pp. 67-84.

  11. Schwert, G. William. (1989). Tests for Unit Roots: A Monte Carlo Investigation. In: Journal of Business & Economic Statistics, 7 2 pp. 147.

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