Empirical Tests of the Assumptions Underlying Models for Foreign Exchange Rates.

Abstract

By means of a very powerful statistical technique the basic linear stochastic process assumption of all existing intertemporal models for weak form efficiency in foreign exchange markets is rejected. Other foreign exchange model based on spot-forward and risk premium relationship are thereby also rejected. The test were applied to the U.S. dollar vs. the Yen currency exchange market. Conclusions from the rejected models are thereby invalidated. Additionally, previous statistical forecast inference is to be suspected since forecast errors were found to be emphatically non-normal and nonlinear. (Author)

Open PDF

Document Details

Document Type
Technical Report
Publication Date
Mar 01, 1984
Accession Number
ADA144288

Entities

People

  • B. Golany
  • P. Brockett

Organizations

  • University of Texas at Austin

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Abstracts
  • Business Administration
  • Data Science
  • Economics
  • Efficiency
  • Finance
  • Gaussian Processes
  • Money
  • Normal Distribution
  • Random Variables
  • Random Walk
  • Standards
  • Stationary
  • Statistical Analysis
  • Statistical Tests
  • Stochastic Processes
  • White Noise

Readers

  • Educational Psychology
  • International Relations and European Studies
  • Regression Analysis.

Technology Areas

  • AI & ML
  • AI & ML - Bayesian Inference
  • AI & ML - Machine Learning Algorithms