Newbold, Paul; Rayner, Toni; Kellard, Neil; Ennew, Christine - In: Applied Financial Economics 8 (1998) 6, pp. 553-558
Monthly data on the $US/ECU exchange rate are analysed in light of the random walk hypothesis. A battery of tests, including procedures that are robust to conditional heteroscedasticity, are applied against linear alternatives to departures from the random walk. These tests are all based on the...