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Has the Link Between the Spot and Forward Exchange Rates Broken Down? Evidence from Rolling Cointegration Tests
16 references·2 citing·39 second hop
Has the Link Between the Spot and Forward Exchange Rates Broken Down? Evidence from Rolling Cointegration Tests (2003)Has the Link Between the Spot and Forward…Critical Values for Cointegration Tests (2010)Critical Values for Cointegra…Convergence in the ERM and Declining Numbers of Common Stochastic Trends (2002)Convergence in the ERM and De…Increasing convergence among European stock markets? (2001)Increasing convergence among …The forward premium anomaly is not as bad as you think (2000)The forward premium anomaly i…Cointegration and forward and spot exchange rate regressions (2000)Cointegration and forward and…Some tests for parameter constancy in cointegrated VAR‐models (1999)Some tests for parameter cons…Two puzzles in the analysis of foreign exchange market efficiency (1998)Two puzzles in the analysis o…Understanding spot and forward exchange rate regressions (1997)Understanding spot and forwar…The forward discount anomaly and the risk premium: A survey of recent evidence (1996)The forward discount anomaly …BOOTSTRAPPING THE TRACE STATISTIC IN VAR MODELS: MONTE CARLO RESULTS AND APPLICATIONS (1996)BOOTSTRAPPING THE TRACE STATI…Testing for Cointegration When Some of the Cointegrating Vectors are Prespecified (1995)Testing for Cointegration Whe…The role of the constant and linear terms in cointegration analysis of nonstationary variables (1994)The role of the constant and …The long memory of the forward premium (1994)The long memory of the forwar…VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING (1992)VECTOR AUTOREGRESSIVE MODELS …A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)A Note with Quantiles of the …Critical Values for Cointegratio11 Tests* (1991)Critical Values for Cointegra…The Evolving and Relative Efficiencies of Stock Markets: Empirical Evidence from Rolling Bicorrelation Test Statistics (2006)The Evolving and Relative Eff…Spot-forward cointegration, structural breaks and FX market unbiasedness (2005)Spot-forward cointegration, s…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)THE POWER OF COINTEGRATION TESTS (1992)Numerical distribution functions for unit root and cointegration tests (1996)Residual-based tests for cointegration in models with regime shifts (1996)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)A Primer on Real Effective Exchange Rates: Determinants, Overvaluation, Trade Flows and Competitive Devaluation (2005)Bootstrap testing for the null of no cointegration in a threshold vector error correction model (2005)Realized Beta: Persistence and Predictability (2005)Forward and spot exchange rates (1984)Permanent and Temporary Components of Stock Prices (1988)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Evolving market structure: An ACE model of price dispersion and loyalty (2001)Uncovered interest rate parity and the term structure (2007)Crash-neutral currency carry trades (2014)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence (1995)Can one make any crash prediction in finance using the local Hurst exponent idea? 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References

  • 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics12,570 cited
  • 2010Critical Values for Cointegration Tests2,569 cited
  • 1996The forward discount anomaly and the risk premium: A survey of recent evidence1,119 cited
  • 1991Critical Values for Cointegratio11 Tests*762 cited
  • 1999Some tests for parameter constancy in cointegrated VAR‐models617 cited
  • 1992VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING460 cited
  • 1994The role of the constant and linear terms in cointegration analysis of nonstationary variables445 cited
  • 2000The forward premium anomaly is not as bad as you think330 cited
  • 1994The long memory of the forward premium212 cited
  • 1995Testing for Cointegration When Some of the Cointegrating Vectors are Prespecified183 cited
  • 1997Understanding spot and forward exchange rate regressions155 cited
  • 2001Increasing convergence among European stock markets?141 cited
  • 2000Cointegration and forward and spot exchange rate regressions107 cited
  • 1996BOOTSTRAPPING THE TRACE STATISTIC IN VAR MODELS: MONTE CARLO RESULTS AND APPLICATIONS43 cited
  • 2002

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Convergence in the ERM and Declining Numbers of Common Stochastic Trends
42 cited
  • 1998Two puzzles in the analysis of foreign exchange market efficiency41 cited
  • Cited by

    • 2006The Evolving and Relative Efficiencies of Stock Markets: Empirical Evidence from Rolling Bicorrelation Test Statistics27 cited
    • 2005Spot-forward cointegration, structural breaks and FX market unbiasedness18 cited