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Re-examining forward market efficiency Evidence from fractional and Harris-Inder cointegration tests
16 references·4 citing·30 second hop
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
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  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
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  • 1996On the power of the KPSS test of stationarity against fractionally-integrated alternatives425 cited
  • 1994Cointegration, Fractional Cointegration, and Exchange Rate Dynamics363 cited
  • 1994Nonstationary Time Series Analysis and Cointegration

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284 cited
  • 1977THE FORWARD EXCHANGE RATE, EXPECTATIONS, AND DEMAND FOR MONEY: THE GERMAN HYPERINFLATION269 cited
  • Cited by

    • 2007Official interventions and the forward premium anomaly29 cited
    • 2007Examination of the efficient market hypothesis—the case of post-crisis Asia Pacific countries24 cited
    • 2014UK imports, third country effect and the global financial crisis: Evidence from the asymmetric ARDL method20 cited
    • 2014Monetary convergence in East Asian countries relative to China13 cited