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Random Walk and Forward Exchange Rates: A Spectral Analysis

Published online by Cambridge University Press:  19 October 2009

Roger B. Upson
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Extract

This paper examines the random-walk hypothesis in the forward exchange market by applying spectral analysis to the three-month forward rates for dollars against sterling in the period 1961–1967.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 7 , Issue 4 , September 1972 , pp. 1897 - 1905
Copyright
Copyright © School of Business Administration, University of Washington 1972

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References

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