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RANDOM HALK MODEL AND MARKET EFFICIENCY
TIME SERIES MODEL AND EXCHANGE RATES
FORECASTING MODELS AND PERFORMANCE
2 other sections not shown
_ I _ _ I I I I I ARIMA model ARIMA processes autocorrelation autoregressive available information behavior best predictor Box-Jenkins chapter chi-square distribution coefficient dollar/yen rate efficient market hypothesis empirical analysis empirical results end of month error estimation results examined the efficient forecasting accuracy forecasting model foreign exchange market FOREIGN EXCHANGE RATES forward exchange rate forward rate Frenkel fully reflected future exchange rates future spot exchange future spot rate I I _ implications for further implies information set interest rate differential It_1 lagged logSt market efficiency market participants martingale mean squared error Monthly data moving average multiple time series parameters random walk model regression models risk premium Section serially uncorrelated series data series model series process simple random walk speculative spot exchange rate TABLE Tokyo market transaction costs univariate time series variables weekly white noise yield to maturity York market zero