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An Empirical Examination of the Ex Ante International Interest Rate Transmission
16 references·5 citing·24 second hop
An Empirical Examination of the Ex Ante International Interest Rate Transmission (1995)An Empirical Examination of the Ex Ante I…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Cointegration: Some results on U.S. cattle prices (1991)Cointegration: Some results o…MAXIMUM 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…Interpreting cointegrated models (1988)Interpreting cointegrated mod…The term structure of euromarket interest rates (1987)The term structure of euromar…Forecasting and testing in co-integrated systems (1987)Forecasting and testing in co…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES (1986)DEVELOPMENTS IN THE STUDY OF …The "Speculative Efficiency" Hypothesis (1981)The "Speculative Efficiency" …The International Financial Market and U.S. Interest Rates (1980)The International Financial M…The Efficiency of the Treasury Bill Futures Market (1979)The Efficiency of the Treasur…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecas…THE STRUCTURE OF INTERNATIONAL INTEREST RATES: THE U.S. TREASURY BILL RATE AND THE EURODOLLAR DEPOSIT RATE (1967)THE STRUCTURE OF INTERNATIONA…Does a Held-to-Maturity Strategy Impede Effective Portfolio Diversification for Islamic Bond (Sukuk) Portfolios? A Multi-Scale Continuous Wavelet Correlation Analysis (2016)Does a Held-to-Maturity Strat…International bond market linkages: a structural VAR analysis (2004)International bond market lin…The Federal funds market and the overnight Eurodollar market (2003)The Federal funds market and …Information Role of U.S. Futures Trading in a Global Financial Market (2001)Information Role of U.S. Futu…CO‐MOVEMENTS OF THE PRIME RATE, CD RATE, AND THE S&P FINANCIAL STOCK INDEX (1998)CO‐MOVEMENTS OF THE PRIME RAT…Time Series Analysis: Forecasting and Control (1977)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Some recent development in a concept of causality (1988)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)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)Macroeconomics and Reality (1980)Introductory Econometrics for Finance (2008)Critical Values for Cointegration Tests (2010)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)The "Speculative Efficiency" Hypothesis (1980)An investigation of risk and return in forward foreign exchange (1984)Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets (1989)Exponential smoothing: The state of the art (1985)Using daily stock returns (1985)Generalized autoregressive conditional heteroskedasticity (1986)Testing for unit roots in heterogeneous panels (2003)
this work references cited by second hop

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
  • 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
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 1977Time Series Analysis: Forecasting and Control6,446 cited
  • 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES2,567 cited
  • 1987Forecasting and testing in co-integrated systems1,896 cited
  • 1981The "Speculative Efficiency" Hypothesis440 cited
  • 1988Interpreting cointegrated models246 cited
  • 1979The Efficiency of the Treasury Bill Futures Market138 cited
  • 1991Cointegration: Some results on U.S. cattle prices107 cited
  • 1987The term structure of euromarket interest rates94 cited
  • 1967THE STRUCTURE OF INTERNATIONAL INTEREST RATES: THE U.S. TREASURY BILL RATE AND THE EURODOLLAR DEPOSIT RATE

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66 cited
  • 1980The International Financial Market and U.S. Interest Rates66 cited
  • Cited by

    • 2004International bond market linkages: a structural VAR analysis43 cited
    • 2003The Federal funds market and the overnight Eurodollar market39 cited
    • 2016Does a Held-to-Maturity Strategy Impede Effective Portfolio Diversification for Islamic Bond (Sukuk) Portfolios? A Multi-Scale Continuous Wavelet Correlation Analysis31 cited
    • 2001Information Role of U.S. Futures Trading in a Global Financial Market31 cited
    • 1998CO‐MOVEMENTS OF THE PRIME RATE, CD RATE, AND THE S&P FINANCIAL STOCK INDEX22 cited