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ECONOMETRIC TEST [1 record]

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Record 1 1986-10-27

English

Subject field(s)
  • Econometrics
CONT

This section describes formal econometric tests of the joint hypothesis of market efficiency and a constant risk premium. The tests were designed to establish whether a superior forecast of the future spot rate can be obtained by using information, including the forward exchange rate, known to all market participants.

French

Domaine(s)
  • Économétrie
CONT

On trouvera dans cette section une description des tests économétriques formels auxquels nous avons soumis les hypothèses conjointes. Nous avons conçu ces tests de façon à déterminer s'il était possible d'améliorer la prévision du cours futur du comptant par rapport à celle donnée par le cours du terme, ce, en utilisant l'information connue de tous les participants au marché, y compris le cours du terme lui-même.

Spanish

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