Are exchange rates serially correlated?: New evidence from the Euro FX markets

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Are exchange rates serially correlated?: New evidence from the Euro FX markets

This paper examines the serial uncorrelatedness hypothesis in the Euro FX markets by testing for autocorrelation in daily FX returns of 82 countries over the period of 1999–2010. We use three newly developed tests that are robust to conditional heteroskedasticity of unknown forms and that do not cho...

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Bibliographic Details
Main Authors:	Cheung, Adrian, Su, J., Choo, A.K.
Format:	Journal Article
Published:	Elsevier BV * North-Holland 2012
Subjects:	Euro exchange rate markets Market efficiency Serial uncorrelatedness
Online Access:	http://hdl.handle.net/20.500.11937/5380

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