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Cocoa market efficiency: a cointegration approach
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Cocoa market efficiency: a cointegration approach (1997)Cocoa market efficiency: a cointegration …Critical Values for Cointegration Tests (2010)Critical Values for Cointegra…ARCH modeling in finance (1992)ARCH modeling in financeEfficient Capital Markets: II (1991)Efficient Capital Markets: IIMAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Forecasting and testing in co-integrated systems (1987)Forecasting and testing in co…Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES (1986)DEVELOPMENTS IN THE STUDY OF …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Some properties of time series data and their use in econometric model specification (1981)Some properties of time serie…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Econometric Modelling of the Aggregate Time-Series Relationship Between Consumers' Expenditure and Income in the United Kingdom (1978)Econometric Modelling of the …EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …THE POWER OF COINTEGRATION TESTS (1992)Numerical distribution functions for unit root and cointegration tests (1996)Residual-based tests for cointegration in models with regime shifts (1996)The Pricing of Options and Corporate Liabilities (1973)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)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)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)Time Series Analysis: Forecasting and Control (1977)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
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  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
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  • 2010Critical Values for Cointegration Tests2,569 cited
  • 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES2,567 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 1981Some properties of time series data and their use in econometric model specification2,406 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 1987

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Forecasting and testing in co-integrated systems
1,896 cited
  • 1978Econometric Modelling of the Aggregate Time-Series Relationship Between Consumers' Expenditure and Income in the United Kingdom1,629 cited
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