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Cointegration and joint efficiency of international commodity markets · Study

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ArticleCointegration and joint efficiency of international commodity markets

Christis Hassapis1999

Article1999

Cointegration and joint efficiency of international commodity markets

Christis Hassapis · Sarantis C. Kalyvitis · Nikitas Pittis B

29 citations·0/0 files stored·The Quarterly Review of Economics and Finance

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Financial Markets and Investment Strategies Monetary Policy and Economic Impact Market Dynamics and Volatility

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1988Statistical analysis of cointegration vectors 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*1970Efficient Capital Markets: A Review of Theory and Empirical Work 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1991Efficient Capital Markets: II 1976Expectations and Exchange Rate Dynamics 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1

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1999What do We Really Know about Real Exchange Rates?chapter · 14 shared references 1996Time-Series-Based Econometricsbook · 13 shared references 2007Cointegration in the Foreign Exchange Market and Market Efficiency since the Introduction of the Euro: Evidence based on bivariate Cointegration Analysespreprint · 13 shared references 2009Bivariate cointegration of major exchange rates, cross-market efficiency and the introduction of the Euroarticle · 12 shared references 1999What Determines Real Exchange Rates? The Long and the Short of Itchapter · 11 shared references 1998What determines real exchange rates?article · 11 shared references

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Year1999

Typearticle

Published1999-06-01

VenueThe Quarterly Review of Economics and Finance

ISSN-L1062-9769

Languageen

Citations29

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/s1062-9769(99)00012-5

openalex_workW2068484266

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