Jorge, Belaire-Franch; Dulce, Contreras - In: Studies in Nonlinear Dynamics & Econometrics 15 (2010) 1, pp. 1-19
In this paper, we test the martingale property of a set of U.S. exchange rates already analyzed in a recent paper by Yilmaz [J. of Buss. and Ec. Stat., 2003]. We claim that the tests used by Yilmaz are not the most convenient to test the martingale hypothesis (or the equivalent martingale...