Copp, Joanne; Brooks, Robert - In: Applied Economics Letters 6 (1999) 7, pp. 417-419
This paper explores variance ratio testing of the Australian forward foreign exchange market. Our results support autocorrelation in our first sample period (July 1985 to January 1990) but an absence of autocorrelation in our second sample period (February 1990 to September 1995). This is...