publication . Preprint . 1993

Some Tests of Random Walk Hypothesis for Bulgarian Foreign Exchange Rates

Nikolai Gueorguiev;
Open Access
  • Published: 01 Aug 1993
Abstract
The objective of this paper is to check if the exchange rate in newly emerged, relatively thin foreign exchange markets, follows a random walk pattern. The findings of the current study cast doubts on random walk presence in Bulgarian exchange rates against major international currencies. It turns out that the series of daily returns are stationary but correlated and therefore can be modelled better by higher-order ARIMA processes than by random walk.
Subjects
Medical Subject Headings: human activities
free text keywords: econometrics; random walk; exchange rates, jel:C22
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