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ArticleForeign exchange market efficiency and common stochastic trends

William J. Crowder1994

Article1994

Foreign exchange market efficiency and common stochastic trends

William J. Crowder

136 citations·0/0 files stored·Journal of International Money and Finance

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Financial Markets and Investment Strategies Monetary Policy and Economic Impact 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 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1992Testing the null hypothesis of stationarity against the alternative of a unit root 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order 1981Some properties of time series data and their use in econometric model specification

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2015Panicca: Panic on Cross‐Section Averages 2004International portfolio diversification to Central European stock markets 2012Foreign exchange market efficiency under recent crises: Asia-Pacific focus 2007Cointegration in the Foreign Exchange Market and Market Efficiency since the Introduction of the Euro: Evidence based on bivariate Cointegration Analyses 2021How puzzling is the forward premium puzzle? A meta-analysis

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Year1994

Typearticle

Published1994-10-01

VenueJournal of International Money and Finance

ISSN-L0261-5606

Languageen

Citations136

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/0261-5606(94)90004-3

openalex_workW2000409902

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1996A note on cointegration and international capital market efficiency

2003The impact of the Asian financial crisis on foreign exchange market efficiency: The case of East Asian countries

2002Does long-run real interest parity hold among EU countries? Some new panel data evidence