This study utilizes variance ratio tests based on the subsampling approach to test the behaviour of euro-based exchange rates markets. Results are mixed, although the random walk behaviour is dominant among the three major currencies namely the Japanese yen, the US dollar and the British pound.

We propose a new testing procedure to determine the rank of cointegration. This new method is based on the nonparametric resampling procedure, so-called Residual-Based Block Bootstrap (RBB), which is developed by Paparoditis and Politis (2003) in the context of unit root testing. Through Monte...

Ramsey and Rothman (1996) design a statistical device to test for time reversibility (TR test). They claim that their procedure is not powerful against ARCH-type alternatives, which also allows Rothman (1998) to propose a strategy based on the TR test to detect bilinear and threshold...