Essays about: "augmented Dickey-Fuller test and Phillips-Ouliaris cointegration test"

Found 1 essay containing the words augmented Dickey-Fuller test and Phillips-Ouliaris cointegration test.

1. 1. Currency Future Efficiency : Do Currency Futures Predict Future Spot Exchange Rates?

   University essay from Handelshögskolan vid Umeå universitet

   Author : Henrik Mattsson; Jonas Vikström; [2011]
   Keywords : Exchange Rates; Currency Futures; Efficiency; Efficient Market Hypothesis; Random Walk; Arbitrage; Interest Rate Parity; augmented Dickey-Fuller test and Phillips-Ouliaris cointegration test;

   Abstract : This paper has tested the efficiency, weak form according to EMH, of the currency future market. The efficiency test has been incorporated in the research question since the market has to be efficient in order for the future to work as predictor of the future spot rate - Can currency futures be used as a tool for predicting futures spot exchange rate? The two sub questions are - Is the prediction power of currency futures stable over time and is the prediction power of currency futures similar for different currencies?   The main theory in the research is the Efficient Market Hypothesis and the Random Walk Hypothesis. READ MORE