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Do currency futures prices follow random walks?
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Do currency futures prices follow random walks? (1997)Do currency futures prices follow random …Temporary Components of Stock Prices: A Skeptic's View (1993)Temporary Components of Stock…Testing the Unbiased Forward Rate Hypothesis: Evidence on Unit Roots, Co- Integration, and Stochastic Coefficients (1991)Testing the Unbiased Forward …Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence (1991)Mean Reversion in Stock Price…The size and power of the variance ratio test in finite samples (1989)The size and power of the var…The Distribution of Futures Prices: A Test of the Stable Paretian and Mixture of Normals Hypotheses (1989)The Distribution of Futures P…Drawing inferences from statistics based on multiyear asset returns (1989)Drawing inferences from stati…Trends and random walks in macroeconomic time series (1988)Trends and random walks in ma…The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation (1988)The Size and Power of the Var…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…How Big Is the Random Walk in GNP? (1988)How Big Is the Random Walk in…Time Series Regression with a Unit Root (1987)Time Series Regression with a…The Sub-Gaussian Distribution of Currency Futures: Stable Paretian or Nonstationary? (1987)The Sub-Gaussian Distribution…Tests of the martingale hypothesis for foreign currency futures with time-varying volatility (1987)Tests of the martingale hypot…Forward and Futures Prices: Evidence from the Foreign Exchange Markets (1981)Forward and Futures Prices: E…A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’ (1981)A new approach to decompositi…RANDOM WALK AND PRICE TRENDS: THE LIVE CATTLE FUTURES MARKET (1972)RANDOM WALK AND PRICE TRENDS:…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Time to Build and Aggregate Fluctuations (1982)A Model of Growth Through Creative Destruction (1990)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)A Theory of the Consumption Function (1960)Optimal Properties of Exponentially Weighted Forecasts (1960)Time Series Analysis: Forecasting and Control (1977)Trends and random walks in macroeconmic time series (1982)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Expected stock returns and volatility (1987)Dividend yields and expected stock returns (1988)Bubbles, Stock Returns, and Duration Dependence (1994)A search for long memory in international stock market returns (1995)Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models (2003)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Unit root tests in panel data: asymptotic and finite-sample properties (2002)When are Contrarian Profits Due to Stock Market Overreaction? (1989)Indexes of U.S. Stock Prices from 1802 to 1987 (1990)When Are Contrarian Profits Due to Stock Market Overreaction? (1990)Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies (2000)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A simple multiple variance ratio test (1993)Alternative Variance-Ratio Tests Using Ranks and Signs (2000)Permanent and Temporary Components of Stock Prices (1988)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)On biases in tests of the expectations hypothesis of the term structure of interest rates (1997)Multifractality in Asset Returns: Theory and Evidence (2002)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Specification Tests in Econometrics (1978)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)Are Asian stock markets efficient? Evidence from new multiple variance ratio tests (2007)It's SHO Time! Short‐Sale Price Tests and Market Quality (2009)Asset pricing: A tale of two days (2014)
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References

  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1987Time Series Regression with a Unit Root2,821 cited
  • 1988Trends and random walks in macroeconomic time series2,433 cited
  • 1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’2,308 cited
  • 1988How Big Is the Random Walk in GNP?1,270 cited
  • 1989The size and power of the variance ratio test in finite samples522 cited
  • 1991Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence469 cited
  • 1988The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation419 cited
  • 1989Drawing inferences from statistics based on multiyear asset returns410 cited
  • 1993Temporary Components of Stock Prices: A Skeptic's View212 cited
  • 1989The Distribution of Futures Prices: A Test of the Stable Paretian and Mixture of Normals Hypotheses198 cited
  • 1981Forward and Futures Prices: Evidence from the Foreign Exchange Markets183 cited
  • 1991Testing the Unbiased Forward Rate Hypothesis: Evidence on Unit Roots, Co- Integration, and Stochastic Coefficients160 cited
  • 1987Tests of the martingale hypothesis for foreign currency futures with time-varying volatility

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119 cited
  • 1972RANDOM WALK AND PRICE TRENDS: THE LIVE CATTLE FUTURES MARKET117 cited
  • 1987The Sub-Gaussian Distribution of Currency Futures: Stable Paretian or Nonstationary?94 cited
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