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Revisiting the weak-form efficiency of the EUR/CHF exchange rate market: Evidence from episodes of different Swiss franc regimes
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References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 1991Efficient Capital Markets: II5,346 cited
  • 2001LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power3,944 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 2004The Adaptive Markets Hypothesis1,708 cited
  • 1991Target Zones and Exchange Rate Dynamics1,089 cited
  • 1994Fractal Market Analysis: Applying Chaos Theory to Investment and Economics983 cited
  • 2005Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis542 cited
  • 1989The size and power of the variance ratio test in finite samples522 cited
  • 1983Deviations from Purchasing Power Parity in the Long Run497 cited
  • 1993A simple multiple variance ratio test496 cited
  • 1971When Can Price be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models482 cited
  • 2005Evidence on the speed of convergence to market efficiency

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456 cited
  • 1966Forecasts of Future Prices, Unbiased Markets, and "Martingale" Models440 cited
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    • 2020Time-dependent lead-lag relationships between the VIX and VIX futures markets29 cited