Some Tests of Random Walk Hypothesis for Bulgarian Foreign Exchange Rates

The objective of this paper is to check if the exchange rate in newly emerged, relatively thin foreign exchange markets, follows a random walk pattern. The findings of the current study cast doubts on random walk presence in Bulgarian exchange rates against major international currencies. It turns out that the series of daily returns are stationary but correlated and therefore can be modelled better by higher-order ARIMA processes than by random walk.

MoreLess

Year of publication:	1993-08
Authors:	Gueorguiev, Nikolai
Institutions:	Agency for Economic Analysis and Forecasting, Ministry of Finance
Subject:	: econometrics \| random walk \| exchange rates

More details

Extent:	application/pdf
Series:	Working paper series.
Type of publication:	Book / Working Paper
Notes:	Number 31993en 18 pages
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008480965