Journal of Finance Vol. 37 No. 4 1982
On Unit Roots and the Empirical Modeling of Exchange Rates
Abstract
Tests are conducted for the presence of unit roots in the autoregressive representations of the logarithms of spot and forward exchange rates. The results from these tests provide one explanation for some of the conflicting conclusions which emerge from recent empirical papers on the foreign exchange market.
- DOI
- 10.1111/j.1540-6261.1982.tb03595.x
- Volume
- 37
- Issue
- 4
- Pages
- 1029-1035
- Language
- en
- Sources
- openalex crossref