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Cointegration for market forecast in the Spanish stock market
16 references·2 citing·34 second hop
Cointegration for market forecast in the Spanish stock market (2002)Cointegration for market forecast in the …Five alternative methods of estimating long-run equilibrium relationships (1994)Five alternative methods of e…Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK (1992)Testing structural hypotheses…The Term Structure as a Predictor of Real Economic Activity (1991)The Term Structure as a Predi…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Stock Returns, Expected Returns, and Real Activity (1990)Stock Returns, Expected Retur…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…What Moves Stock Prices? (1988)What Moves Stock Prices?Testing for Common Trends (1988)Testing for Common TrendsStatistical analysis of cointegration vectors (1988)Statistical analysis of coint…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors (1987)Asymptotic Properties of Leas…Predicting returns in the stock and bond markets (1986)Predicting returns in the sto…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…STOCK PRICES, REAL ACTIVITY, INFLATION AND MONEY (1981)STOCK PRICES, REAL ACTIVITY, …Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…Volatility transmission across currencies and stock markets: GIIPS in crisis (2014)Volatility transmission acros…An empirical study of the relation between stock price and EPS in panel data: Korea case (2006)An empirical study of the rel…Expectations and the neutrality of money (1972)MONEY, INCOME, AND CAUSALITY (1972)Asset returns and inflation (1977)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Book Review: Time Series Analysis: Forecasting and Control (1977)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Trends and random walks in macroeconmic time series (1982)Bounds testing approaches to the analysis of level relationships (2001)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)The relationship between return and market value of common stocks (1981)Illiquidity and stock returns: cross-section and time-series effects (2002)Econometric policy evaluation: A critique (1976)The theory and practice of econometrics (1986)Cointegration and Tests of Present Value Models (1987)Understanding Risk and Return (1993)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Credit Spreads and Business Cycle Fluctuations (2012)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)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing32,281 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1981STOCK PRICES, REAL ACTIVITY, INFLATION AND MONEY2,632 cited
  • 1988Testing for Common Trends1,983 cited
  • 1991The Term Structure as a Predictor of Real Economic Activity1,739 cited
  • 1986Predicting returns in the stock and bond markets1,715 cited
  • 1992Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK1,659 cited
  • 1990Stock Returns, Expected Returns, and Real Activity1,553 cited
  • 1987Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors1,471 cited
  • 1988What Moves Stock Prices?

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1,255 cited
  • 1994Five alternative methods of estimating long-run equilibrium relationships1,129 cited
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    • 2014Volatility transmission across currencies and stock markets: GIIPS in crisis17 cited
    • 2006An empirical study of the relation between stock price and EPS in panel data: Korea case17 cited