Random Walk Hypothesis in Exchange Rate Reconsidered

Random Walk Hypothesis in Exchange Rate Reconsidered

碩士 === 國立臺灣大學 === 經濟學研究所 === 90 === The Capital Movement Intensity(CMI) index is constructed from hypothetical optimal investment decisions via the mean-variance analysis. An empirical nominal exchange rate model that includes CMI index as an additional regressor del...

Full description

Bibliographic Details
Main Author: 盧信銘
Other Authors: 朱家祥
Format: Others
Language:zh-TW
Published: 2002
Online Access:http://ndltd.ncl.edu.tw/handle/58680877566811509603
id ndltd-TW-090NTU02389037
record_format oai_dc
spelling ndltd-TW-090NTU023890372015-10-13T14:41:12Z http://ndltd.ncl.edu.tw/handle/58680877566811509603 Random Walk Hypothesis in Exchange Rate Reconsidered 匯率預測與隨機漫步假說 盧信銘 碩士 國立臺灣大學 經濟學研究所 90 The Capital Movement Intensity(CMI) index is constructed from hypothetical optimal investment decisions via the mean-variance analysis. An empirical nominal exchange rate model that includes CMI index as an additional regressor delivers better forecast performance than the random walk. The predicting power of the CMI index is confirmed through Diebold and Mariano''s test and White''s reality check, in three out of four foreign exchange markets using bilateral model and one out of two exchange markets using trilateral model. 朱家祥 2002 學位論文 ; thesis 51 zh-TW
collection NDLTD
language zh-TW
format Others
sources NDLTD
description 碩士 === 國立臺灣大學 === 經濟學研究所 === 90 === The Capital Movement Intensity(CMI) index is constructed from hypothetical optimal investment decisions via the mean-variance analysis. An empirical nominal exchange rate model that includes CMI index as an additional regressor delivers better forecast performance than the random walk. The predicting power of the CMI index is confirmed through Diebold and Mariano''s test and White''s reality check, in three out of four foreign exchange markets using bilateral model and one out of two exchange markets using trilateral model.
author2 朱家祥
author_facet 朱家祥
盧信銘
author 盧信銘
spellingShingle 盧信銘
Random Walk Hypothesis in Exchange Rate Reconsidered
author_sort 盧信銘
title Random Walk Hypothesis in Exchange Rate Reconsidered
title_short Random Walk Hypothesis in Exchange Rate Reconsidered
title_full Random Walk Hypothesis in Exchange Rate Reconsidered
title_fullStr Random Walk Hypothesis in Exchange Rate Reconsidered
title_full_unstemmed Random Walk Hypothesis in Exchange Rate Reconsidered
title_sort random walk hypothesis in exchange rate reconsidered
publishDate 2002
url http://ndltd.ncl.edu.tw/handle/58680877566811509603
work_keys_str_mv AT lúxìnmíng randomwalkhypothesisinexchangeratereconsidered
AT lúxìnmíng huìlǜyùcèyǔsuíjīmànbùjiǎshuō
_version_ 1717756156979445760

Similar Items