SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
On the mean-reverting properties of target zone exchange rates
16 references·7 citing·33 second hop
On the mean-reverting properties of target zone exchange rates (1998)On the mean-reverting properties of targe…Critical Values for Cointegration Tests (2010)Critical Values for Cointegra…Co-Integration, Error Correction, and the Econometric Analysis of Non- Stationary Data. (1996)Co-Integration, Error Correct…Testing for a Unit Root in Time Series With Pretest Data-Based Model Selection (1994)Testing for a Unit Root in Ti…Perspectives on PPP and Long-Run Real Exchange Rates (1994)Perspectives on PPP and Long-…The Unstable EMS (1993)The Unstable EMSCo-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Co-integration, Error Correct…Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence (1992)Recursive and Sequential Test…Target Zones and Exchange Rate Dynamics (1991)Target Zones and Exchange Rat…Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Pitfalls and Opportunities: W…Long-Run Economic Relationships (1991)Long-Run Economic Relationshi…Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence (1990)Recursive and Sequential Test…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…How Big Is the Random Walk in GNP? (1988)How Big Is the Random Walk in…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Swiss franc's one-sided target zone during 2011–2015 (2016)Swiss franc's one-sided targe…EXCHANGE RATE TARGET ZONES: A SURVEY OF THE LITERATURE (2011)EXCHANGE RATE TARGET ZONES: A…Model‐free evaluation of directional predictability in foreign exchange markets (2007)Model‐free evaluation of dire…Martingale Property of Exchange Rates and Central Bank Interventions (2003)Martingale Property of Exchan…Convergence in the ERM and Declining Numbers of Common Stochastic Trends (2002)Convergence in the ERM and De…A panel cointegration approach to the estimation of the peseta real exchange rate (2002)A panel cointegration approac…The width of the band and exchange rate mean-reversion: some further ERM-based results (1999)The width of the band and exc…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)Testing for a Unit Root in Time Series Regression (1988)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Does financial development cause economic growth? Time-series evidence from 16 countries (1996)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Time to Build and Aggregate Fluctuations (1982)A Model of Growth Through Creative Destruction (1990)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Bounds testing approaches to the analysis of level relationships (2001)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)ARCH modeling in finance (1992)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)No Single Currency Regime is Right for All Countries or At All Times (1999)Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work? (2001)The Trilemma in History: Tradeoffs Among Exchange Rates, Monetary Policies, and Capital Mobility (2004)Taking Time Seriously (2008)Unit root tests in panel data: asymptotic and finite-sample properties (2002)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Testing for Error Correction in Panel Data* (2007)Testing for unit roots in heterogeneous panels (2003)
this work references cited by second hop

References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 2010Critical Values for Cointegration Tests2,569 cited
  • 1993Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data1,758 cited
  • 1996Co-Integration, Error Correction, and the Econometric Analysis of Non- Stationary Data.1,578 cited
  • 1991Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots1,314 cited
  • 1988How Big Is the Random Walk in GNP?1,270 cited
  • 1991Target Zones and Exchange Rate Dynamics1,089 cited
  • 1990Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence870 cited
  • 1991Long-Run Economic Relationships760 cited
  • 1994Perspectives on PPP and Long-Run Real Exchange Rates742 cited
  • 1994Testing for a Unit Root in Time Series With Pretest Data-Based Model Selection701 cited
  • 1993The Unstable EMS

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

464 cited
  • 1992Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence405 cited
  • Cited by

    • 2003Martingale Property of Exchange Rates and Central Bank Interventions60 cited
    • 2007Model‐free evaluation of directional predictability in foreign exchange markets49 cited
    • 2002Convergence in the ERM and Declining Numbers of Common Stochastic Trends42 cited
    • 2011EXCHANGE RATE TARGET ZONES: A SURVEY OF THE LITERATURE34 cited
    • 2002A panel cointegration approach to the estimation of the peseta real exchange rate31 cited
    • 1999The width of the band and exchange rate mean-reversion: some further ERM-based results31 cited
    • 2016Swiss franc's one-sided target zone during 2011–201529 cited