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...

This paper investigates the claim that the common finding of cointegration between spot and lagged forward exchange rates reflects the existence of covered interest arbitrage and not, as is generally accepted, long-run market efficiency. Breuer and Wohar's (1996) methodology is employed to match...

The motivation for this article is to investigate the use of a promising class of Neural Network (NN) models, Higher Order Neural Networks (HONNs), when applied to the task of forecasting the 1-day ahead Value at Risk (VaR) of the brent oil and gold bullion series with only autoregressive terms...

The rejection of the simple risk-neutral efficient market hypothesis in the foreign exchange (FX) market opens the possibility of the profitable use of a carry model taking full advantage of interest rate differentials to trade currencies. A first motivation for this paper is to study whether a...