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Rational speculative bubbles and duration dependence in exchange rates: an analysis of five currencies
16 references·0 citing·44 second hop
Rational speculative bubbles and duration dependence in exchange rates: an analysis of five currencies (2006)Rational speculative bubbles and duration…Testing the monetary model of exchange rate determination: new evidence from a century of data (2002)Testing the monetary model of…The behavior of real exchange rates during the post-Bretton Woods period (1998)The behavior of real exchange…A panel project on purchasing power parity: Mean reversion within and between countries (1996)A panel project on purchasing…The monetary model of the exchange rate: long-run relationships, short-run dynamics and how to beat a random walk (1994)The monetary model of the exc…Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK (1992)Testing structural hypotheses…A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)A Note with Quantiles of the …A Variance-Ratio Test of Random Walks in Foreign Exchange Rates (1991)A Variance-Ratio Test of Rand…An Econometric Analysis of Nonsynchronous Trading (1989)An Econometric Analysis of No…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Mean reversion in stock prices (1988)Mean reversion in stock pricesMean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…A Specification Test for Speculative Bubbles (1987)A Specification Test for Spec…Testing for Bubbles in Exchange Markets: A Case of Sparkling Rates? (1986)Testing for Bubbles in Exchan…The Price Variability-Volume Relationship on Speculative Markets (1983)The Price Variability-Volume …The Use of Volatility Measures in Assessing Market Efficiency* (1981)The Use of Volatility Measure…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Common stochastic trends in international stock markets (1992)DETERMINATION OF COINTEGRATION RANK IN THE PRESENCE OF A LINEAR TREND (1992)Tourism as a long-run economic growth factor: the Spanish case (2002)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The relationship between return and market value of common stocks (1981)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework (1998)Introductory Econometrics for Finance (2008)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)Trading Volume and Serial Correlation in Stock Returns (1993)Bayesian Analysis of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market (1992)Dynamic Volume-Return Relation of Individual Stocks (2002)Efficiency and the Bear: Short Sales and Markets Around the World (2007)Purchasing Power Parity in the Long Run (1990)Perspectives on PPP and Long-Run Real Exchange Rates (1994)Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries (1996)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)Nonstationary panels, cointegration in panels and dynamic panels: A survey (2004)Panel unit root tests under cross‐sectional dependence (2005)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Asset Prices in an Exchange Economy (1978)Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Stock Prices, Earnings, and Expected Dividends (1988)Investor Psychology and Asset Pricing (2001)Why is it so difficult to beat the random walk forecast of exchange rates? (2003)Testing for a unit root in panels with dynamic factors (2004)
this work references cited by second hop

References

  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics12,570 cited
  • 1988Mean reversion in stock prices1,888 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • 1992Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK1,659 cited
  • 1983The Price Variability-Volume Relationship on Speculative Markets1,450 cited
  • 1998The behavior of real exchange rates during the post-Bretton Woods period824 cited
  • 1989An Econometric Analysis of Nonsynchronous Trading798 cited
  • 1996A panel project on purchasing power parity: Mean reversion within and between countries681 cited
  • 1987A Specification Test for Speculative Bubbles468 cited
  • 1981The Use of Volatility Measures in Assessing Market Efficiency*337 cited
  • 1994The monetary model of the exchange rate: long-run relationships, short-run dynamics and how to beat a random walk295 cited
  • 2002Testing the monetary model of exchange rate determination: new evidence from a century of data287 cited
  • 1986

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Testing for Bubbles in Exchange Markets: A Case of Sparkling Rates?
269 cited
  • 1991A Variance-Ratio Test of Random Walks in Foreign Exchange Rates261 cited
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