search query: @author Wang, P. / total: 18
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| Author: | Wang, P. Jones, T. |
| Title: | Testing for efficiency and rationality in foreign exchange markets - a review of the literature and research on foreign exchange market efficiency and rationality with comments |
| Journal: | Journal of International Money and Finance
2002 : APR, VOL. 21:2, p. 223-239 |
| Index terms: | FOREIGN EXCHANGE MARKET MARKET EFFICIENCY RATIONALITY VECTOR AUTOREGRESSION MODELS |
| Language: | eng |
| Abstract: | This paper specifies two VAR models for testing efficiency and expectations in foreign exchange markets. The sufficient conditions for efficiency and rational expectations, by imposing restrictions on the VAR parameters, are derived. |
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