Market efficiency of Brazilian exchange rate: Evidence from variance ratio statistics and technical trading rules

DOI10.1016/J.EJOR.2008.01.005zbMath1168.91478OpenAlexW2058122893MaRDI QIDQ958567

Eduardo J. A. Lima, Benjamin Miranda Tabak

Publication date: 5 December 2008

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2008.01.005

zbMATH Keywords

random walkexchange ratesemerging marketsblock bootstrapvariance ratio

Mathematics Subject Classification ID

Economic time series analysis (91B84) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Statistical methods; economic indices and measures (91B82)

Related Items (5)

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Cites Work

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• Non-linear, hybrid exchange rate modeling and trading profitability in the foreign exchange market
• Bootstrap methods: another look at the jackknife
• A simple multiple variance ratio test
• The efficiency of financial futures markets: tests of prediction accuracy.
• Emergent capital markets' efficiency: the case of Romania.
• Improving density forecast by modeling asymmetric features: an application to S{\&}P500 returns
• On blocking rules for the bootstrap with dependent data

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