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An alternative approach to testing uncovered interest parity
16 references·1 citing·35 second hop
An alternative approach to testing uncovered interest parity (1995)An alternative approach to testing uncove…Interest Rate Linkages Within the European Monetary System: Further Analysis (1993)Interest Rate Linkages Within…Rationality of survey data and tests for market efficiency in the foreign exchange markets (1992)Rationality of survey data an…A cointegration test for market efficiency (1991)A cointegration test for mark…Interest Rate Linkages Within the European Monetary System: A Time Series Analysis: Note (1990)Interest Rate Linkages Within…Interest Rate Linkages Within the European Monetary System: A Time Series Analysis (1990)Interest Rate Linkages Within…Asymptotic Properties of Residual Based Tests for Cointegration (1990)Asymptotic Properties of Resi…Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets (1989)Market efficiency and cointeg…Asymptotic Normality, When Regressors Have a Unit Root (1988)Asymptotic Normality, When Re…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…Forward and spot exchange rates (1984)Forward and spot exchange rat…A Note on Exchange-Rate Expectations and Nominal Interest Differentials: A Test of the Fisher Hypothesis (1981)A Note on Exchange-Rate Expec…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…Some Joint Tests of the Efficiency of Markets for Forward Foreign Exchange (1979)Some Joint Tests of the Effic…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…Does the uncovered interest parity hold in short horizons? (2008)Does the uncovered interest p…A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)A Tract on Monetary Reform (1924)In search of the exchange risk premium: A six-currency test assuming mean-variance optimization (1982)An investigation of risk and return in forward foreign exchange (1984)International Capital Mobility and Crowding Out in the U.S. Economy: Imperfect Integration of Financial Markets or of Goods Markets? (1985)Proof that Properly Anticipated Prices Fluctuate Randomly (2015)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets (1990)Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets (1995)The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence (1995)Trends and random walks in macroeconmic time series (1982)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)International R&D spillovers (1995)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Long memory processes and fractional integration in econometrics (1996)Predictive regressions (1999)Presidential Address: Discount Rates (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)IS THE BUDGET DEFICIT “TOO LARGE?” (1991)Productivity Across Industries and Countries: Time Series Theory and Evidence (1996)Sources of U.S. Economic Growth in a World of Ideas (2002)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)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)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Testing for unit roots in heterogeneous panels (2003)
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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
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 1984Forward and spot exchange rates2,167 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
  • 1987Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors1,471 cited
  • 1989Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets408 cited
  • 1988Asymptotic Normality, When Regressors Have a Unit Root339 cited
  • 1981A Note on Exchange-Rate Expectations and Nominal Interest Differentials: A Test of the Fisher Hypothesis199 cited
  • 1991A cointegration test for market efficiency149 cited
  • 1979Some Joint Tests of the Efficiency of Markets for Forward Foreign Exchange147 cited
  • 1992Rationality of survey data and tests for market efficiency in the foreign exchange markets140 cited
  • 1990Interest Rate Linkages Within the European Monetary System: A Time Series Analysis138 cited

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  • 1993Interest Rate Linkages Within the European Monetary System: Further Analysis125 cited
  • 1990Interest Rate Linkages Within the European Monetary System: A Time Series Analysis: Note111 cited
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    • 2008Does the uncovered interest parity hold in short horizons?13 cited