Hong, Yongmiao; Lee, Tae-Hwy - In: The Review of Economics and Statistics 85 (2003) 4, pp. 1048-1062
It is often documented, based on autocorrelation, variance ratio, and power spectrum, that exchange rates approximately follow a martingale process. Because these data check serial uncorrelatedness rather than martingale difference, they may deliver misleading conclusions in favor of the...
