Wai Mun Fong and Sam Ouliaris, "Spectral Tests of the Martingale 
Hypothesis for Exchange Rates", Journal of Applied Econometrics, Vol. 10, 
No. 3, 1995, pp. 255-271.

Paper:  `Spectral Tests of the Martingale Hypothesis for Exchange Rates'
Authors: Wai Mun Fong and Sam Ouliaris, National University of Singapore
e-mail: fbafwm@nus.sg ; fbaso@nus.sg (respectively)
Date: September 6, 1994

Both files are found in the zip file fong-oul.zip.

The file EXC.ASC contains 5 columns, and 762 rows.  The data are 
weekly exchange rates for 5 countries against the US dollar, namely:

	Column 1: Canadian $
	Column 2: German Dm
	Column 3: French Fr
	Column 4: U.K. pound
	Column 5: Japanese Yen

over the period 7 August 1974 to 29 March 1989.

The data were taken from the IMF's International Financial Statistics 
published by the International Monetary Fund.

Note that we used Wednesday rates for each currency.  [If a Wednesday 
observation was missing, the exchange rate for the following day was 
used instead].

EWM.PRG is the GAUSS code used to obtain (a subset) of the results.  Please 
note that it requires parts of COINT 2.0 (a cointegration package by 
Sam Ouliaris and Peter C. B. Phillips), namely the files: BASE.SRC and 
KERNELS.SRC.  You will need access to these files in order to run the 
program.