SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Foreign exchange market efficiency and cointegration
10 references·16 citing·34 second hop
Foreign exchange market efficiency and cointegration (1989)Foreign exchange market efficiency and co…Covered Interest Parity: A High-Frequency, High-Quality Data Study (1987)Covered Interest Parity: A Hi…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES (1986)DEVELOPMENTS IN THE STUDY OF …Forward and spot exchange rates (1984)Forward and spot exchange rat…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…A Note on Exchange-Rate Expectations and Nominal Interest Differentials: A Test of the Fisher Hypothesis (1981)A Note on Exchange-Rate Expec…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…Foundations of Finance. (1977)Foundations of Finance.Covered Interest Arbitrage: Unexploited Profits? (1975)Covered Interest Arbitrage: U…A multifractal detrended fluctuation analysis of financial market efficiency: Comparison using Dow Jones sector ETF indices (2017)A multifractal detrended fluc…International stock market efficiency: a non-Bayesian time-varying model approach (2014)International stock market ef…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 …The impact of the Asian financial crisis on foreign exchange market efficiency: The case of East Asian countries (2003)The impact of the Asian finan…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…Share market efficiency: tests using daily data for Australia and New Zealand (1997)Share market efficiency: test…An Examination of ASEAN Stock Markets: A Cointegration Approach (1997)An Examination of ASEAN Stock…Interdependence of stock markets: evidence from Europe during the 1920s and 1930s (1996)Interdependence of stock mark…Cointegration among Asian currencies: Evidence of the increasing influence of the Japanese yen (1996)Cointegration among Asian cur…A note on cointegration and international capital market efficiency (1996)A note on cointegration and i…Stochastic trends and stock prices: an international inquiry (1994)Stochastic trends and stock p…Cointegration-based tests of daily foreign exchange market efficiency (1990)Cointegration-based tests of …Time Series Analysis: Forecasting and Control (1977)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)Statistical analysis of cointegration vectors (1988)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)A Tract on Monetary Reform (1924)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)In search of the exchange risk premium: A six-currency test assuming mean-variance optimization (1982)An investigation of risk and return in forward foreign exchange (1984)International Capital Mobility and Crowding Out in the U.S. Economy: Imperfect Integration of Financial Markets or of Goods Markets? (1985)Proof that Properly Anticipated Prices Fluctuate Randomly (2015)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)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)On the Impossibility of Informationally Efficient Markets (1980)Empirical exchange rate models of the seventies (1983)Arbitrage in the Foreign Exchange Market: Turning on the Microscope (2006)The Returns to Currency Speculation (2006)The coordination channel of foreign exchange intervention: A nonlinear microstructural analysis (2007)International Interest-Rate and Price-Level Linkages Under Flexible Exchange Rates: A Review of Recent Evidence (1982)Beating the Foreign Exchange Market (1986)Arbitrage in the foreign exchange market: Turning on the microscope (2008)Unit root tests in panel data: asymptotic and finite-sample properties (2002)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Does the Stock Market Overreact? (1985)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)Testing for unit roots in heterogeneous panels (2003)
this work references cited by second hop

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
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES2,567 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 1977Foundations of Finance.1,128 cited
  • 1975Covered Interest Arbitrage: Unexploited Profits?429 cited
  • 1981A Note on Exchange-Rate Expectations and Nominal Interest Differentials: A Test of the Fisher Hypothesis199 cited
  • 1987Covered Interest Parity: A High-Frequency, High-Quality Data Study182 cited

Cited by

  • 1996Interdependence of stock markets: evidence from Europe during the 1920s and 1930s80 cited
  • 2017A multifractal detrended fluctuation analysis of financial market efficiency: Comparison using Dow Jones sector ETF indices80 cited
  • 1990Cointegration-based tests of daily foreign exchange market efficiency78 cited
  • 2007Cointegration in the Foreign Exchange Market and Market Efficiency since the Introduction of the Euro: Evidence based on bivariate Cointegration Analyses

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

73 cited
  • 1996A note on cointegration and international capital market efficiency67 cited
  • 2014International stock market efficiency: a non-Bayesian time-varying model approach65 cited
  • 1997Share market efficiency: tests using daily data for Australia and New Zealand62 cited
  • 1997An Examination of ASEAN Stock Markets: A Cointegration Approach62 cited
  • 2003The impact of the Asian financial crisis on foreign exchange market efficiency: The case of East Asian countries61 cited
  • 1996Cointegration among Asian currencies: Evidence of the increasing influence of the Japanese yen54 cited
  • 1998Market efficiency of US grain markets: Application of cointegration tests53 cited
  • 1994Stochastic trends and stock prices: an international inquiry52 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