Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
963514 | Journal of International Money and Finance | 2012 | 20 Pages |
Abstract
⺠We examine return predictability of major foreign exchange rates. ⺠We use alternative tests for the martingale difference hypothesis based on linear and nonlinear dependence. ⺠We evaluate time-varying return predictability with fixed-length moving windows. ⺠Episodes of return predictability occur depending on changing market conditions. ⺠The results are consistent with the implications of the adaptive markets hypothesis.
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Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Amélie Charles, Olivier Darné, Jae H. Kim,