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FUTURES MARKET EFFICIENCY, THE UNBIASEDNESS HYPOTHESIS AND VARIANCE‐BOUNDS TESTS: THE CASE OF THE FTSE‐100 FUTURES CONTRACT*
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FUTURES MARKET EFFICIENCY, THE UNBIASEDNESS HYPOTHESIS AND VARIANCE‐BOUNDS TESTS: THE CASE OF THE FTSE‐100 FUTURES CONTRACT* (1996)FUTURES MARKET EFFICIENCY, THE UNBIASEDNE…THE EFFECT OF VARYING LENGTH VAR MODELS ON THE MAXIMUM LIKELIHOOD ESTIMATES OF COINTEGRATING VECTORS (1991)THE EFFECT OF VARYING LENGTH …Testing the Unbiased Forward Rate Hypothesis: Evidence on Unit Roots, Co- Integration, and Stochastic Coefficients (1991)Testing the Unbiased Forward …Stock Market Forecastability and Volatility: A Statistical Appraisal (1991)Stock Market Forecastability …Futures market efficiency: Evidence from cointegration tests (1991)Futures market efficiency: Ev…Efficient Capital Markets: II (1991)Efficient Capital Markets: IIA cointegration test for market efficiency (1991)A cointegration test for mark…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Asymptotic Properties of Residual Based Tests for Cointegration (1990)Asymptotic Properties of Resi…Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets (1989)Market efficiency and cointeg…Econometric tests of rationality and market efficiency (1989)Econometric tests of rational…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Variance Bounds Tests and Stock Price Valuation Models (1986)Variance Bounds Tests and Sto…The Use of Volatility Measures in Assessing Market Efficiency* (1981)The Use of Volatility Measure…The Present-Value Relation: Tests Based on Implied Variance Bounds (1981)The Present-Value Relation: T…The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)The Volatility of Long-Term I…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)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)Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets (1995)The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence (1995)On the application of the dynamic conditional correlation model in estimating optimal time-varying hedge ratios (2007)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Asset Prices in an Exchange Economy (1978)Efficient Capital Markets: II (1991)Mental Accounting, Loss Aversion, and Individual Stock Returns (2001)The Dog That Did Not Bark: A Defense of Return Predictability (2007)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Liquidity and interest rates (1990)Explaining the Variance of Price–Dividend Ratios (1992)ECONOMETRIC TESTS OF ASSET PRICE BUBBLES: TAKING STOCK* (2008)MONEY, INCOME, AND CAUSALITY (1972)Does the Stock Market Overreact? (1985)ARCH modeling in finance (1992)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Corporate financing and investment decisions when firms have information that investors do not have (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Capital markets research in accounting (2001)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Dividend Policy, Growth, and the Valuation of Shares (1961)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Macroeconomics and finance: The role of the stock market (1984)Anomalies and Market Efficiency (2002)Price dynamics and speculative trading in bitcoin (2017)Spurious regression and residual-based tests for cointegration in panel data (1999)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Testing for Error Correction in Panel Data* (2007)
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References

  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
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  • 1991Futures market efficiency: Evidence from cointegration tests175 cited
  • 1991Testing the Unbiased Forward Rate Hypothesis: Evidence on Unit Roots, Co- Integration, and Stochastic Coefficients160 cited
  • 1991A cointegration test for market efficiency149 cited
  • 1989Econometric tests of rationality and market efficiency136 cited
  • 1991THE EFFECT OF VARYING LENGTH VAR MODELS ON THE MAXIMUM LIKELIHOOD ESTIMATES OF COINTEGRATING VECTORS

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113 cited
  • 1991Stock Market Forecastability and Volatility: A Statistical Appraisal101 cited
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