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COINTEGRATION TESTS WITH DAILY EXCHANGE RATE DATA
16 references·16 citing·36 second hopsampled
COINTEGRATION TESTS WITH DAILY EXCHANGE RATE DATA (1991)COINTEGRATION TESTS WITH DAILY EXCHANGE R…The Message in Daily Exchange Rates (2002)The Message in Daily Exchange…The Message in Daily Exchange Rates: A Conditional-Variance Tale (1989)The Message in Daily Exchange…Common Stochastic Trends in a System of Exchange Rates (1989)Common Stochastic Trends in a…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Forecasting and testing in co-integrated systems (1987)Forecasting and testing in co…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors (1987)Asymptotic Properties of Leas…Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations (1986)Using Survey Data to Test Sta…ECONOMETRIC MODELLING WITH COINTEGRATED VARIABLES: AN OVERVIEW (1986)ECONOMETRIC MODELLING WITH CO…DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES (1986)DEVELOPMENTS IN THE STUDY OF …Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations (1985)Using Survey Data to Test Som…Conditional variance and the risk premium in the foreign exchange market (1985)Conditional variance and the …Forward and spot exchange rates (1984)Forward and spot exchange rat…Some properties of time series data and their use in econometric model specification (1981)Some properties of time serie…Flexible Exchange Rates, Prices, and the Role of "News": Lessons from the 1970s (1981)Flexible Exchange Rates, Pric…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…A multifractal detrended fluctuation analysis of financial market efficiency: Comparison using Dow Jones sector ETF indices (2017)A multifractal detrended fluc…Testing the Efficient Market Hypothesis in Conditionally Heteroskedastic Futures Markets (2013)Testing the Efficient Market …Cointegration in the Foreign Exchange Market and Market Efficiency since the Introduction of the Euro: Evidence based on bivariate Cointegration Analyses (2007)Cointegration in the Foreign …Cointegration, market integration, and market efficiency (2005)Cointegration, market integra…The forward pricing function of the shipping freight futures market (1999)The forward pricing function …Exchange rate market efficiency: across and within countries (1999)Exchange rate market efficien…THE EFFECTS OF DE-REGULATION ON SHARE-MARKET EFFICIENCY IN THE ASIA-PACIFIC (1998)THE EFFECTS OF DE-REGULATION …Market efficiency of US grain markets: Application of cointegration tests (1998)Market efficiency of US grain…Common stochastic trends between forward and spot exchange rates (1998)Common stochastic trends betw…The market efficiency hypothesis: The case of coffee and cocoa futures (1997)The market efficiency hypothe…Time-Series-Based Econometrics (1996)Time-Series-Based EconometricsPrice dynamics in refined petroleum spot and futures markets (1996)Price dynamics in refined pet…A note on cointegration and international capital market efficiency (1996)A note on cointegration and i…An assessment of the economic value of non‐linear foreign exchange rate forecasts (1995)An assessment of the economic…Foreign exchange market efficiency and common stochastic trends (1994)Foreign exchange market effic…Cointegration and error correction models: Intertemporal causality between index and futures prices (1993)Cointegration and error corre…Time Series Analysis: Forecasting and Control (1977)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Some recent development in a concept of causality (1988)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Bounds testing approaches to the analysis of level relationships (2001)Trends and random walks in macroeconmic time series (1982)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)International R&D spillovers (1995)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Long memory processes and fractional integration in econometrics (1996)Predictive regressions (1999)Presidential Address: Discount Rates (2011)Macroeconomics and Reality (1980)Introductory Econometrics for Finance (2008)Critical Values for Cointegration Tests (2010)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Testing for a Unit Root in Time Series Regression (1988)Bivariate garch estimation of the optimal commodity futures Hedge (1991)ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)Modeling and Forecasting Realized Volatility (2001)Expectations and Exchange Rate Dynamics (1976)Anomalies: Foreign Exchange (1990)ARCH modeling in finance (1992)The use of technical analysis in the foreign exchange market (1992)Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)The contribution of tourism development to economic growth in the Korean economy (2003)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES2,567 cited
  • 1981Some properties of time series data and their use in econometric model specification2,406 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 1987Forecasting and testing in co-integrated systems1,896 cited
  • 1987Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors1,471 cited
  • 2002The Message in Daily Exchange Rates791 cited
  • 1985Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations738 cited
  • 1989The Message in Daily Exchange Rates: A Conditional-Variance Tale647 cited
  • 1986ECONOMETRIC MODELLING WITH COINTEGRATED VARIABLES: AN OVERVIEW631 cited
  • 1989Common Stochastic Trends in a System of Exchange Rates626 cited
  • 1981Flexible Exchange Rates, Prices, and the Role of "News": Lessons from the 1970s500 cited
  • 1985Conditional variance and the risk premium in the foreign exchange market

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485 cited
  • 1986Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations432 cited
  • Cited by

    • 1993Cointegration and error correction models: Intertemporal causality between index and futures prices179 cited
    • 1994Foreign exchange market efficiency and common stochastic trends136 cited
    • 1996Time-Series-Based Econometrics103 cited
    • 1999The forward pricing function of the shipping freight futures market89 cited
    • 1995An assessment of the economic value of non‐linear foreign exchange rate forecasts80 cited
    • 2017A multifractal detrended fluctuation analysis of financial market efficiency: Comparison using Dow Jones sector ETF indices80 cited
    • 1996Price dynamics in refined petroleum spot and futures markets76 cited
    • 2007Cointegration in the Foreign Exchange Market and Market Efficiency since the Introduction of the Euro: Evidence based on bivariate Cointegration Analyses73 cited
    • 1996A note on cointegration and international capital market efficiency67 cited
    • 2005Cointegration, market integration, and market efficiency61 cited
    • 1998Market efficiency of US grain markets: Application of cointegration tests53 cited
    • 2013Testing the Efficient Market Hypothesis in Conditionally Heteroskedastic Futures Markets50 cited
    • 1997The market efficiency hypothesis: The case of coffee and cocoa futures47 cited
    • 1998THE EFFECTS OF DE-REGULATION ON SHARE-MARKET EFFICIENCY IN THE ASIA-PACIFIC47 cited
    • 1998Common stochastic trends between forward and spot exchange rates43 cited
    • 1999Exchange rate market efficiency: across and within countries40 cited