-
Testing the random walk hypothesis for real exchange rates (replication data)
This paper tests the random walk hypothesis for the log-differenced monthly US real exchange rates versus some major currencies. The tests we use are variance ratio test,... -
The conditional heteroscedasticity of the yen-dollar exchange rate (replicati...
This paper examines the conditional heteroscedasticity of the yen-dollar exchange rate. A model is constructed by extending the asymmetric power autoregressive conditional...
