This paper attempts to examine the weak form of market efficiency in the Indian foreign exchange market using a family of variance ratio tests. Monthly Nominal Effective Exchange Rate (NEER) data from April 1993-June 2010 were used for the analysis. NEER series was considered for the analysis as...

In studying the scale invariance of an empirical time series a twofold problem arises: it is necessary to test the series for self-similarity and, once passed such a test, the goal becomes to estimate the parameter H0 of self-similarity. The estimation is therefore correct only if the sequence...

We examine the accuracy of survey-based expectations of the Chilean exchange rate relative to the US dollar. Our out-of-sample analysis reveals that survey-based forecasts outperform the Driftless Random Walk (DRW) in terms of Mean Squared Prediction Error at several forecasting horizons. This...

In this paper we show that the exchange rates of some commodity exporter countries have the ability to predict the price of spot and future contracts of aluminum. This is shown with both in-sample and out-of-sample analyses. The theoretical underpinning of these results relies on the...

We argue that many confusions relating to the system of methods used in a particular area of study economics and econometrics, if we a considering in time-series forecasting might be considered as arising out of ambivalence or inconclusiveness about the error terms. Relationships between...

This article reconsiders the developing of a new forecast model using the interrupted timeseries of the gross domestic product for the Republic of Moldova. The theme arises from a first need to redefine, economic growth in the context of increasing globalization but also the complexity of...

This article validates the chaotic behavior in the Argentinean, Brazilian, Canadian, Chilean, American, Peruvian and Mexican Stock Markets using the MERVAL, BOVESPA, S&P TSX COMPOSITE, IPSA, IGPA, S&P 500, DOW JONES INDUSTRIALS, NASDAQ, IGBVL and IPC Stock Indexes respectively. The results of...

In this paper we test the weak form of the Efficient-Market Hypothesis (EMH) using monthly ‎data from 2004M08 to 2018M04 of stock prices by using linear and nonlinear (KSS 3 type, ‎Sollis and Kruse) unit root tests. The informational market efficiency is examined in the ‎Islamic and...

In this paper we test the weak form of the Efficient-Market Hypothesis (EMH) using monthly ‎data of stock prices for the period from 2010M01 to 2019M07 for seven markets (Tunindex) ‎in Tunisia and 6 Asian countries : Saudi Arabia (TSAI), Japon (Nikkei 225), China (SSEC), ‎Turkey (BIST100),...

After describing the various forms of efficiency and calendar anomalies observed in many developed and emerging markets according to the existing literature, the present study examines this phenomenon empirically in the Nepalese stock market for daily data of Nepal Stock Exchange Index from...