Journal of Financial and Quantitative Analysis Vol. 7 No. 4 1972
Random Walk and Forward Exchange Rates: A Spectral Analysis
Abstract
This paper examines the random-walk hypothesis in the forward exchange market by applying spectral analysis to the three-month forward rates for dollars against sterling in the period 1961–1967.
- DOI
- 10.2307/2329624
- Volume
- 7
- Issue
- 4
- Pages
- 1897
- Sources
- crossref openalex