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Common stochastic trends in a system of Eurocurrency rates · Study

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ArticleCommon stochastic trends in a system of Eurocurrency rates

Bala G. Arshanapalli1994

Article1994

Common stochastic trends in a system of Eurocurrency rates

Bala G. Arshanapalli · John A. Doukas

28 citations·0/0 files stored·Journal of Banking & Finance

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Monetary Policy and Economic Impact Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1988Statistical analysis of cointegration vectors 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 1985A Theory of the Term Structure of Interest Rates 1987Cointegration and Tests of Present Value Models

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2000Efficiency tests in the French derivatives market 2012On the globalization of stock markets: An application of Vector Error Correction Model, Mutual Information and Singular Spectrum Analysis to the G7 countries

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Year1994

Typearticle

Published1994-12-01

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations28

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/0378-4266(94)00059-x

openalex_workW2085834236

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