Testing the Martingale Property of Exchange Rates: A Replication (Studies in Nonlinear Dynamics & Econometrics 2011)

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Contents

Article

Authors Title Journal Year Edition Pages JEL Codes Keywords
Jorge Belaire-Franch, Dulce Contreras Testing the Martingale Property of Exchange Rates: A Replication Studies in Nonlinear Dynamics & Econometrics 2011 1 - - -

Article information

Program code Data Readme Method(s) & estimation Data type Data used Origin of data used Software used (Version)
1 - accessible on journal website 1 - accessible on journal website 1 - accessible on journal website - - exchange rates January 1974–February 2001 Canada, Switzerland, Germany, France, Italy, Japan, UK, US Ox

This article is a replication of

Authors Title Journal Year Edition Pages JEL Codes Keywords Replication type Replication result [refer to replication type 1 and 2] Raw data Call into question Authors statement
Kamil Yilmaz Martingale Property of Exchange Rates and Central Bank Interventions J Business & Econ Statistics 2003 3 383-95 - Fixed-length moving subsample window, Joint variance ratio test, Multiple comparison test, Richardson–smith wald test 3 - reproduction (new methods) 2 - different results - 2 - partly -

References

DOI: 10.2202/1558-3708.1796 IDEAS: a/bpj/sndecm/v15y2010i1nre1.html EconPapers: RePEc:bpj:sndecm:v:15:y:2010:i:1:n:re1


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