A time series analysis of U.K. construction and real estate indices [PDF]
, 2013 This study assess the nonlinear behavior of U.K. Construction and Real Estate indices. Standard unit root tests show that both time series are I(1) processes.
Belaire-Franch, J., Opong, K.K.
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Variance ratio tests of random walk: An overview [PDF]
, 2009 This paper reviews the recent developments in the field of the variance-ratio (VR) tests of the random walk and martingale hypothesis. In particular, we present the conventional individual and multiple VR tests as well as their improved modifications ...
Charles, Amélie, Darné, Olivier
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Long Swings in Exchange Rates: a Stochastic Control Approach [PDF]
, 2007 A regime-switching model to describe the exchange rate dynamics is derived as solution to a stochastic control problem. We assume exchange rates evolve according to some macroeconomic variables whose dynamics could be described by a Brownian motion with ...
D'ECCLESIA R.L, R. CASTELLANO
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Specialized International Equity Investment With Forward Foreign Exchange Trading: A U. S. Viewpoint [PDF]
, 2005 Assuming risk-neutrality and the random walk model we derive a rule-of-thumb that periodically selects the appropriate foreign stock index and is either long or short foreign currency contracts. The empirical results of testing the rule-of-thumb ...
Ainina, Fall +2 more
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Market efficiency in the emerging securitized real estate markets [PDF]
, 2010 This paper tests the random walk hypothesis and market efficiency for twelve emerging as well as for four developed securitized real estate markets from 1992 to 2009.
Schindler, Felix
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Random Walk Theory and Exchange Rate Dynamics in Transition Economies [PDF]
This paper investigates the validity of the random walk theory in the Euro-Serbian dinar exchange rate market. We apply Andrew Lo and Archie MacKinlay’s (1988) conventional variance ratio test and Jonathan Wright’s (2000) non-parametric ranks and signs ...
Goran Andjelić +2 more
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An empirical analysis on the efficiency of the microfinance investment market [PDF]
This paper empirically analyzes the market efficiency of microfinance investment funds. For the empirical analysis, we use an index of the microfinance investment funds and apply two kinds of variance ratio tests to examine whether or not this index ...
Hamori, Shigeyuki, Inoue, Takeshi
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Testing the predictability and efficiency of securitized real estate markets [PDF]
This paper conducts tests of the random walk hypothesis and market efficiency for 14 national public real estate markets. Random walk properties of equity prices influence the return dynamics and determine the trading strategies of investors.
Füss, Roland +2 more
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Will the U.S. Velocity of Money Step up Again? New Evidence from the Random Walk Hypothesis [PDF]
, 2014 The recent decrease in U.S. money velocity raises debates about its unit root behavior. This paper revisited the random walk hypothesis (RWH) of the U.S. money velocity in 1960-2010 and two sub-periods 1960-85 and 1986-2010 by applying the Variance Ratio
Tran Xuan, Anh Thu
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A Nonparametric Variance-Ratio Test of the Behavior of U.K. Real Estate and Construction Indices [PDF]
This study utilizes tests based on ranks and signs suggested by Wright (2000), in addition to the traditional variance-ratio test, to examine the behavior of United Kingdom real estate and construction security indices.
James R. Webb +3 more
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