Chortareas, Georgios; Jiang, Ying; Nankervis, John C. - In: Finance Research Letters 8 (2011) 3, pp. 158-162
We use Generalized Andrews-Ploberger (GAP) tests to examine the random-walk behavior of 17 OECD countries' euro exchange rates at daily frequencies. The GAP tests reject the hypothesis of random-walk behavior less often than do traditional tests. Moreover, the random-walk hypothesis cannot be...
