Al-Khazali, Osamah M.; Pyun, Chong Soo; Kim, Daewon - In: International Review of Economics & Finance 21 (2012) 1, pp. 221-231
This study investigates the random walk (RW) and the martingale difference sequence (MDS) processes for the Australian dollar and seven Asian currencies relative to three benchmark currencies between 1993 and 2008. We use Kim's (2009) Automatic Variance Ratio (AVR) test for the RW and Kuan and...