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Testing for a nonlinear relationship among fundamentals and exchange rates in the ERM
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Testing for a nonlinear relationship among fundamentals and exchange rates in the ERM (2000)Testing for a nonlinear relationship amon…Critical Values for Cointegration Tests (2010)Critical Values for Cointegra…Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Testing for Linear and Nonlin…Long-Run Economic Relationships: Readings in Cointegration. (1993)Long-Run Economic Relationshi…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)A Note with Quantiles of the …Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root? (1991)Testing the Null Hypothesis o…Target Zones and Exchange Rate Dynamics (1991)Target Zones and Exchange Rat…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Does the Stock Market Rationally Reflect Fundamental Values? 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References

  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics12,570 cited
  • 2010Critical Values for Cointegration Tests2,569 cited
  • 1984Stock Prices and Social Dynamics1,615 cited
  • 1991Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?1,589 cited
  • 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation1,495 cited
  • 1986Does the Stock Market Rationally Reflect Fundamental Values?1,149 cited
  • 1982Bubbles, Rational Expectations and Financial Markets1,130 cited
  • 1991Target Zones and Exchange Rate Dynamics

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1,089 cited
  • 1993Long-Run Economic Relationships: Readings in Cointegration.925 cited
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    • 2006Evidence for chaotic dependence between US inflation and commodity prices183 cited
    • 2012The multiscale causal dynamics of foreign exchange markets82 cited
    • 2005Empirical exchange rate models and currency risk: some evidence from density forecasts76 cited
    • 2009New evidence on the relation between return volatility and trading volume75 cited
    • 2008The nonlinear dynamic relationship of exchange rates: Parametric and nonparametric causality testing64 cited
    • 2009Nonlinear adjustment of the real exchange rate towards its equilibrium value: A panel smooth transition error correction modelling61 cited
    • 2008Financial Crisis and Asian Real Estate Securities Market Interdependence: Some Additional Evidence52 cited
    • 2007Policy change and lead–lag relations among China's segmented stock markets44 cited
    • 2006Persistent misalignments of the European exchange rates: some evidence from non-linear cointegration31 cited
    • 2008Parametric and nonparametric Granger causality testing: Linkages between international stock markets28 cited
    • 2010Macroeconomic Fundamentals and the Exchange Rate Dynamics: A No-Arbitrage Macro-Finance Approach19 cited
    • 2001Nominal exchange-rate prediction: evidence from a nonlinear approach19 cited
    • 2012Nonlinear relationship between the real exchange rate and economic fundamentals: Evidence from China and Korea16 cited