Baruch College, City University of New York and DePaul University, respectively. This paper has benefited substantially from the comments of an anonymous referee. We are also very grateful to David Hsieh, John Huizinga, Andrew Lo, and René Stulz (editor) for valuable suggestions and comments on earlier versions of this paper. The conversations with John R. Conlon and Arnold Zellner are helpful, and the comments from seminar participants at Baruch College, CUNY, and Rutgers University on the first draft of this paper are also acknowledged. Any errors are of course our own.
A Variance-Ratio Test of Random Walks in Foreign Exchange Rates
Article first published online: 30 APR 2012
1991 The American Finance Association
The Journal of Finance
Volume 46, Issue 2, pages 773–785, June 1991
How to Cite
LIU, C. Y. and HE, J. (1991), A Variance-Ratio Test of Random Walks in Foreign Exchange Rates. The Journal of Finance, 46: 773–785. doi: 10.1111/j.1540-6261.1991.tb02686.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
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