Scientific Research An Academic Publisher
OPEN ACCESS
Add your e-mail address to receive free newsletters from SCIRP.
Select Journal AA AAD AAR AASoci AAST ABB ABC ABCR ACES ACS ACT AD ADR AE AER AHS AID AiM AIT AJAC AJC AJCC AJCM AJIBM AJMB AJOR AJPS ALAMT ALC ALS AM AMI AMPC ANP APD APE APM ARS ARSci AS ASM BLR CC CE CellBio ChnStd CM CMB CN CRCM CS CSTA CUS CWEEE Detection EMAE ENG EPE ETSN FMAR FNS GEP GIS GM Graphene GSC Health IB ICA IIM IJAA IJAMSC IJCCE IJCM IJCNS IJG IJIDS IJIS IJMNTA IJMPCERO IJNM IJOC IJOHNS InfraMatics JACEN JAMP JASMI JBBS JBCPR JBiSE JBM JBNB JBPC JCC JCDSA JCPT JCT JDAIP JDM JEAS JECTC JEMAA JEP JFCMV JFRM JGIS JHEPGC JHRSS JIBTVA JILSA JIS JMF JMGBND JMMCE JMP JPEE JQIS JSBS JSEA JSEMAT JSIP JSS JSSM JST JTR JTST JTTs JWARP LCE MC ME MI MME MNSMS MPS MR MRC MRI MSA MSCE NJGC NM NR NS OALib OALibJ ODEM OJA OJAB OJAcct OJAnes OJAP OJApo OJAppS OJAPr OJAS OJBD OJBIPHY OJBM OJC OJCB OJCD OJCE OJCM OJD OJDer OJDM OJE OJEE OJEM OJEMD OJEpi OJER OJF OJFD OJG OJGas OJGen OJI OJIC OJIM OJINM OJL OJM OJMC OJMetal OJMH OJMI OJMIP OJML OJMM OJMN OJMP OJMS OJMSi OJN OJNeph OJO OJOG OJOGas OJOp OJOph OJOPM OJOTS OJPathology OJPC OJPChem OJPed OJPM OJPP OJPS OJPsych OJRA OJRad OJRD OJRM OJS OJSS OJSST OJST OJSTA OJTR OJTS OJU OJVM OPJ POS PP PST PSYCH SAR SCD SGRE SM SN SNL Soft SS TEL TI UOAJ VP WET WJA WJCD WJCMP WJCS WJET WJM WJNS WJNSE WJNST WJV WSN YM
More>>
Andrews, D.W. (1991) Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation. Econometrica: Journal of the Econometric Society, 59, 817-858. https://doi.org/10.2307/2938229
has been cited by the following article:
TITLE: Market Efficiency in Indian Exchange Rates: Adaptive Market Hypothesis
AUTHORS: Dilip Kumar
KEYWORDS: Automatic Variance Ratio (AVR) Test, Rank-Based Tests, Adaptive Market Hypothesis (AMH), Market Efficiency, Return Predictability
JOURNAL NAME: Theoretical Economics Letters, Vol.8 No.9, June 13, 2018
ABSTRACT: This paper utilizes the automatic variance ratio test and Belaire-Franch and Contreras (2004) rank-based tests to examine the adaptive market hypothesis in Indian exchange rates relative to US dollar (USD), Great British pound (GBP), Euro and Japanese yen (Yen). We use overlapping and non-overlapping moving subsample approach to examine the sensitivity of the results to a particular sample period. Our findings provide evidence in support of violation of the martingale hypothesis of Indian exchange rates relative to the US dollar and Japanese yen for whole sample period. Our findings also provide evidence that the predictability of returns of Indian exchange rates occurs from time to time and depends on occurrence of major macroeconomic events. These findings are consistent with the validity of adaptive market hypothesis in Indian exchange rates.
Related Articles:
Fast Algorithm for DOA Estimation with Partial Covariance Matrix and without Eigendecomposition
Jianfeng Chen, Yuntao Wu, Hui Cao, Hai Wang
DOI: 10.4236/jsip.2011.24037 5,071 Downloads 8,993 Views Citations
Pub. Date: November 16, 2011
Galilean-Like Transformation Allowed by General Covariance and Consistent with Special Relativity
Frank R. Tangherlini
DOI: 10.4236/jmp.2014.55033 5,381 Downloads 6,653 Views Citations
Pub. Date: March 28, 2014
Testing the Equality Hypothesis on a Cross-Covariance Matrix
Xiaomei Chen, Shibin Zhang
DOI: 10.4236/oalib.1105584 219 Downloads 382 Views Citations
Pub. Date: August 12, 2019
Mean-Variance Portfolio Choice with Uncertain Variance-Covariance Matrix
Wei Guo, Yichao Wang, Danping Qiu
DOI: 10.4236/jfrm.2020.92004 303 Downloads 539 Views Citations
Pub. Date: April 23, 2020
Covariance Matrix Learning Differential Evolution Algorithm Based on Correlation
Sainan Yuan, Quanxi Feng
DOI: 10.4236/ijis.2021.111002 24 Downloads 72 Views Citations
Pub. Date: December 15, 2020
