Foreign-Exchange Rate Dynamics: An Empirical Study Using Maximum Entropy Spectral Analysis
外汇汇率动态：基于最大熵谱分析的实证研究
This study examines whether foreign-exchange rates evolve as a random walk by directly comparing the predictive ability of autoregressive (AR) models of spot rates with that of the random walk. To reduce the influence of model specifications on test results, we neither specify the order of the AR process a priori nor assume that the order is necessarily the same over the entire sample period. For each subperiod, the AR model is estimated by maximum entropy spectral analysis,…