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dc.contributor.authorApergis, Nicholas
dc.contributor.authorAlexakis, Panagiotis
dc.date.accessioned2019-03-14T17:37:50Z
dc.date.available2019-03-14T17:37:50Z
dc.date.issued1996-05
dc.identifier.urihttp://hdl.handle.net/10545/623577
dc.description.abstractExtensive empirical work has produced mixed evidence regarding the validity of the unbiased efficient expectations hypothesis in the foreign exchange market. Empirical analysis in this paper, via cointegration techniques, produces the same inconclusive results for three currency markets, namely, the FFR/$US, the DM/$US and the Yen/$US foreign exchange market. However, when modeling conditional heteroskedasticity of exchange rates, through autoregressive conditional heteroskedasticity (ARCH) models, the results are fairly conclusive; the presence of the efficient foreign exchange market hypothesis is found in all these three currency markets.en
dc.description.sponsorshipN/Aen
dc.language.isoenen
dc.publisherElsevieren
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectEfficient marketsen
dc.subjectForward exchange ratesen
dc.subjectARCH effectsen
dc.subjectCointegrationen
dc.titleARCH effects and cointegration: Is the foreign exchange market efficient?en
dc.typeArticleen
dc.contributor.departmentUniversity of Macedoniaen
dc.contributor.departmentUniversity of the Aegeanen
dc.identifier.journalJournal of Banking and Financeen


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