F31 - Foreign Exchange - Bank of Canada
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2024-03-28T21:28:24+00:00
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Unit-Root Tests and Excess Returns
https://www.bankofcanada.ca/1996/08/working-paper-1996-10/
Several recent papers have presented evidence from foreign exchange and other markets suggesting that the log of excess returns can be characterized as first-order integrated processes (I(1)). This contrasts sharply with the "conventional" wisdom that log prices are integrated of order one I(1) and that log returns should therefore be integrated of order zero I(0), and even more sharply with the view that past returns have no ability to predict future returns (weak market efficiency).
1996-08-02T16:16:04+00:00
en
Unit-Root Tests and Excess Returns
1996-08-02
Econometric and statistical methods
Working Paper 1996-10
https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp96-10.pdf
Unit-Root Tests and Excess Returns
Marie-Josée Godbout
Simon van Norden
August 1996
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C1
C12
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F3
F31
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Excess Volatility and Speculative Bubbles in the Canadian Dollar: Real or Imagined?
https://www.bankofcanada.ca/1996/07/technical-report-no76/
Greater intervention by the public sector is often proposed as a solution to the increased speculation and excessive price volatility thought to characterize today's competitive world financial system.
1996-07-01T14:09:19+00:00
en
Excess Volatility and Speculative Bubbles in the Canadian Dollar: Real or Imagined?
1996-07-01
Exchange rates
Technical Report 76
https://www.bankofcanada.ca/wp-content/uploads/2010/01/tr76.pdf
Excess Volatility and Speculative Bubbles in the Canadian Dollar: Real or Imagined?
John Murray
Simon van Norden
Robert Vigfusson
July 1996
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C4
C40
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F3
F31