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Rationality of survey data and tests for market efficiency in the foreign exchange markets
16 references·16 citing·32 second hopsampled
Rationality of survey data and tests for market efficiency in the foreign exchange markets (1992)Rationality of survey data and tests for …The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets (2014)The Empirical Evidence on the…Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Pitfalls and Opportunities: W…Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots (1991)Pitfalls and Opportunities: W…Inference in Linear Time Series Models with some Unit Roots (1990)Inference in Linear Time Seri…Asymptotic Properties of Residual Based Tests for Cointegration (1990)Asymptotic Properties of Resi…Tests for Unit Roots: A Monte Carlo Investigation (1989)Tests for Unit Roots: A Monte…Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets (1989)Market efficiency and cointeg…Forward Discount Bias: Is it an Exchange Risk Premium? (1989)Forward Discount Bias: Is it …Common Stochastic Trends in a System of Exchange Rates (1989)Common Stochastic Trends in a…Tests For Unit Roots: A Monte Carlo Investigation (1988)Tests For Unit Roots: A Monte…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations (1986)Using Survey Data to Test Sta…Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations (1985)Using Survey Data to Test Som…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…Professional forecasts of interest rates and exchange rates: Evidence from the Wall Street Journal’s panel of economists (2007)Professional forecasts of int…Macroeconomic news and exchange rates (2006)Macroeconomic news and exchan…Optimal Power for Testing Potential Cointegrating Vectors With Known Parameters for Nonstationarity (2004)Optimal Power for Testing Pot…Financial market liberalization and stock market efficiency: Evidence from the Athens Stock Exchange (2004)Financial market liberalizati…European foreign exchange market efficiency: Evidence based on crisis and noncrisis periods (2004)European foreign exchange mar…The Value Relevance of the Foreign Translation Adjustment (2003)The Value Relevance of the Fo…Models of exchange rate expectations: how much heterogeneity? (2003)Models of exchange rate expec…Expectations Formation and Risk in Three Financial Markets: Surveying What the Surveys Say (2000)Expectations Formation and Ri…Correct or combine? Mechanically integrating judgmental forecasts with statistical methods (2000)Correct or combine? Mechanica…Random Walks and Market Efficiency Tests: Evidence from Emerging Equity Markets (1999)Random Walks and Market Effic…Non-Informative Tests of the Unbiased Forward Exchange Rate (1999)Non-Informative Tests of the …Integration, cointegration and the forecast consistency of structural exchange rate models (1998)Integration, cointegration an…The unbiased forward rate hypothesis re-examined (1995)The unbiased forward rate hyp…Unbiasedness and time varying risk premia in the crude oil futures market (1994)Unbiasedness and time varying…Testing Proportionality, Symmetry and Exclusiveness in Long‐run PPP (1994)Testing Proportionality, Symm…Patterns in Exchange Rate Forecasts for Twenty-Five Currencies (1994)Patterns in Exchange Rate For…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Statistical inference in vector autoregressions with possibly integrated processes (1995)Asset Prices in an Exchange Economy (1978)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Does financial liberalization spur growth? (2005)Presidential Address: Discount Rates (2011)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Expectations and Exchange Rate Dynamics (1976)Forward and spot exchange rates (1984)Anomalies: Foreign Exchange (1990)ARCH modeling in finance (1992)The use of technical analysis in the foreign exchange market (1992)Fractional Brownian Motions, Fractional Noises and Applications (1968)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Long memory processes and fractional integration in econometrics (1996)The contribution of tourism development to economic growth in the Korean economy (2003)Spurious regression and residual-based tests for cointegration in panel data (1999)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Testing for Error Correction in Panel Data* (2007)Bounds testing approaches to the analysis of level relationships (2001)Investor Psychology and Security Market Under‐ and Overreactions (1998)The Economics of Exchange Rates (2003)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Why Does Stock Market Volatility Change Over Time? (1989)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1990Inference in Linear Time Series Models with some Unit Roots2,561 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
  • 1990Asymptotic Properties of Residual Based Tests for Cointegration1,980 cited
  • 1991Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots1,314 cited
  • 1988Tests For Unit Roots: A Monte Carlo Investigation1,244 cited
  • 1985Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations738 cited
  • 1989Forward Discount Bias: Is it an Exchange Risk Premium?715 cited
  • 1991Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots681 cited
  • 1989Tests for Unit Roots: A Monte Carlo Investigation635 cited
  • 1989Common Stochastic Trends in a System of Exchange Rates626 cited
  • 2014The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets601 cited
  • 1986

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Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations
432 cited
  • 1989Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets408 cited
  • Cited by

    • 1999Random Walks and Market Efficiency Tests: Evidence from Emerging Equity Markets132 cited
    • 1994Unbiasedness and time varying risk premia in the crude oil futures market125 cited
    • 2000Expectations Formation and Risk in Three Financial Markets: Surveying What the Surveys Say118 cited
    • 1994Patterns in Exchange Rate Forecasts for Twenty-Five Currencies108 cited
    • 2007Professional forecasts of interest rates and exchange rates: Evidence from the Wall Street Journal’s panel of economists97 cited
    • 2003The Value Relevance of the Foreign Translation Adjustment82 cited
    • 2000Correct or combine? Mechanically integrating judgmental forecasts with statistical methods64 cited
    • 1998Integration, cointegration and the forecast consistency of structural exchange rate models63 cited
    • 2003Models of exchange rate expectations: how much heterogeneity?63 cited
    • 2006Macroeconomic news and exchange rates54 cited
    • 2004Optimal Power for Testing Potential Cointegrating Vectors With Known Parameters for Nonstationarity48 cited
    • 2004Financial market liberalization and stock market efficiency: Evidence from the Athens Stock Exchange48 cited
    • 1995The unbiased forward rate hypothesis re-examined43 cited
    • 1994Testing Proportionality, Symmetry and Exclusiveness in Long‐run PPP43 cited
    • 1999Non-Informative Tests of the Unbiased Forward Exchange Rate40 cited
    • 2004European foreign exchange market efficiency: Evidence based on crisis and noncrisis periods39 cited