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Regression vs. volatility tests of the efficiency of foreign exchange markets

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  • Frankel, Jeffrey A.
  • Stock, James H.

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  • Frankel, Jeffrey A. & Stock, James H., 1987. "Regression vs. volatility tests of the efficiency of foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 6(1), pages 49-56, March.
    • Handle: RePEc:eee:jimfin:v:6:y:1987:i:1:p:49-56
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    Cited by:

    1. Engel, Charles, 2005. "Some New Variance Bounds for Asset Prices," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(5), pages 949-955, October.
    2. Bernard Dumas, 1993. "Partial- vs general-equilibrium models of the international capital market," Working Papers hal-00610766, HAL.
    3. Rudiger Dornbusch & Jeffrey Frankel, 1988. "The Flexible Exchange Rate System: Experience and Alternatives," International Economic Association Series, in: Silvio Borner (ed.), International Finance and Trade in a Polycentric World, chapter 7, pages 151-208, Palgrave Macmillan.
    4. Shang-Jin Wei & Jeffrey A. Frankel, 1991. "Are Option-Implied Forecasts of Exchange Rate Volatility Excessively Variable?," NBER Working Papers 3910, National Bureau of Economic Research, Inc.
    5. Durlauf, Steven N. & Hall, Robert E., 1988. "Bounds on the Variances of Specification Errors in Models with Expectations," CEPR Publications 244420, Stanford University, Center for Economic Policy Research.
    6. Kenneth A. Froot, 1987. "Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets," NBER Working Papers 2362, National Bureau of Economic Research, Inc.

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