0000000001036783
AUTHOR
Kwaku K. Opong
Some evidence of random walk behavior of Euro exchange rates using ranks and signs
Abstract This study utilises recently developed tests based on ranks and signs, in addition to the traditional variance ratio test, to examine the behavior of Euro exchange rates. We show that adjustments for multiple tests must be employed in order to avoid size distortions. Overall, such adjustments provide evidence consistent with random walk behavior of Euro exchange rates.
Testing for random walk in euro exchange rates using the subsampling approach
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.