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ArticleCOINTEGRATION TESTS WITH DAILY EXCHANGE RATE DATA

Laurence Copeland1991

Article1991

COINTEGRATION TESTS WITH DAILY EXCHANGE RATE DATA

Laurence Copeland

123 citations·0/0 files stored·Oxford Bulletin of Economics and Statistics

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Monetary Policy and Economic Impact Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1988Statistical analysis of cointegration vectors 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES 1981Some properties of time series data and their use in econometric model specification 1984Forward and spot exchange rates 1987Forecasting and testing in co-integrated systems 1987Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors

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1993Cointegration and error correction models: Intertemporal causality between index and futures prices 1994Foreign exchange market efficiency and common stochastic trends 1996Time-Series-Based Econometrics 1999The forward pricing function of the shipping freight futures market 2017A multifractal detrended fluctuation analysis of financial market efficiency: Comparison using Dow Jones sector ETF indices

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1990A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate marketsarticle · 8 shared references 1991Tests of exchange market efficiency: fragile evidence from cointegration testsarticle · 8 shared references 1996Time-Series-Based Econometricsbook · 8 shared references 1992Co‐integration, error correction and improved medium‐term regional VAR forecastingarticle · 8 shared references 1998Common stochastic trends between forward and spot exchange ratesarticle · 8 shared references 1995Investigating the robustness of tests of the market efficiency hypothesis: contributions from cointegration techniques on the Canadian floating dollararticle · 8 shared references

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Year1991

Typearticle

Published1991-05-01

VenueOxford Bulletin of Economics and Statistics

ISSN-L0305-9049

Languageen

Citations123

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1111/j.1468-0084.1991.mp53002005.x

openalex_workW1589272184

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1995

An assessment of the economic value of non‐linear foreign exchange rate forecasts

1996Price dynamics in refined petroleum spot and futures markets

2007Cointegration in the Foreign Exchange Market and Market Efficiency since the Introduction of the Euro: Evidence based on bivariate Cointegration Analyses