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The financial econometrics of price discovery and predictability
16 references·1 citing·26 second hop
The financial econometrics of price discovery and predictability (2015)The financial econometrics of price disco…The Econometrics of Financial Markets (2012)The Econometrics of Financial…PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)PANEL COINTEGRATION: ASYMPTOT…Testing for unit roots in heterogeneous panels (2003)Testing for unit roots in het…Unit root tests in panel data: asymptotic and finite-sample properties (2002)Unit root tests in panel data…Bounds testing approaches to the analysis of level relationships (2001)Bounds testing approaches to …Spurious regression and residual-based tests for cointegration in panel data (1999)Spurious regression and resid…Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Likelihood-Based Inference in…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyEstimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Efficient Capital Markets: II (1991)Efficient Capital Markets: IIStatistical analysis of cointegration vectors (1988)Statistical analysis of coint…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Macroeconomics and Reality (1980)Macroeconomics and RealityAn Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …Price Discovery in Agricultural Futures Markets: Should We Look beyond the Best Bid‐Ask Spread? (2019)Price Discovery in Agricultur…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)The saving and investment nexus for China: evidence from cointegration tests (2005)An econometric study of CO2 emissions, energy consumption, income and foreign trade in Turkey (2009)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Time Series Analysis: Forecasting and Control (1977)Testing for a Unit Root in Time Series Regression (1988)A simple panel unit root test in the presence of cross‐section dependence (2007)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Generalized impulse response analysis in linear multivariate models (1998)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Testing for Error Correction in Panel Data* (2007)Introductory Econometrics for Finance (2008)
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5,346 cited
  • 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models5,336 cited
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    • 2019Price Discovery in Agricultural Futures Markets: Should We Look beyond the Best Bid‐Ask Spread?29 cited