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four-step generalized
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logarithmic change specification
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macroeconomic variables
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unbiasedness hypothesis
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variable mean response
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Chen, Yueh H.
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Lin, Hong-Jen
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Multinational Finance Journal
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The Dynamics and Stochastics of Currency Betas Based on the Unbiasedness Hypothesis in Foreign Exchange Markets
Lin, Winston T.
;
Lin, Hong-Jen
;
Chen, Yueh H.
- In:
Multinational Finance Journal
6
(
2002
)
3-4
,
pp. 167-195
logarithmic
change
specification
used to test the UH, we attempt to simultaneously test the behavior of currency betas in terms of …
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