On Unit Roots and the Empirical Modeling of Exchange Rates
The Journal of FinancePublished 1 September 1982
Richard Meese, Kenneth J. Singleton
Citations335
SJR quartileQ1
SJR score22.84
SNIP5.51
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Abstract
ABSTRACT Tests are conducted for the presence of unit roots in the autoregressive representations of the logarithms of spot and forward exchange rates. The results from these tests provide one explanation for some of the conflicting conclusions which emerge from recent empirical papers on the foreign exchange market.
Keywords
Economics, Econometrics and Finance
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