SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Re‐examining Cointegration, Unit Roots and Efficiency in Foreign Exchange Rates
15 references·1 citing·32 second hop
Re‐examining Cointegration, Unit Roots and Efficiency in Foreign Exchange Rates (1997)Re‐examining Cointegration, Unit Roots an…On Cointegration and Exchange Rate Dynamics (1994)On Cointegration and Exchange…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Cointegration in partial systems and the efficiency of single-equation analysis (1992)Cointegration in partial syst…Cointegration and market efficiency (1992)Cointegration and market effi…A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)A Note with Quantiles of the …Tests of exchange market efficiency: fragile evidence from cointegration tests (1991)Tests of exchange market effi…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…Reconsidering ‘trends and random walks in macroeconomic time series’ (1991)Reconsidering ‘trends and ran…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…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…Foreign exchange market efficiency and cointegration (1989)Foreign exchange market effic…Common Stochastic Trends in a System of Exchange Rates (1989)Common Stochastic Trends in a…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES (1986)DEVELOPMENTS IN THE STUDY OF …Rational speculative bubbles and duration dependence in exchange rates: an analysis of five currencies (2006)Rational speculative bubbles …Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Time Series Analysis: Forecasting and Control (1977)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Some recent development in a concept of causality (1988)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)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)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Trends and random walks in macroeconmic time series (1982)Time Series Regression with a Unit Root (1987)Energy consumption, income, and carbon emissions in the United States (2006)Oil price shocks and stock markets in the U.S. and 13 European countries (2008)Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model (2004)Exploring the international linkages of the euro area: a global VAR analysis (2007)Testing for Error Correction in Panel Data* (2007)Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework (1998)Introductory Econometrics for Finance (2008)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)Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Operating Flexibility, Global Manufacturing, and the Option Value of a Multinational Network (1994)Long memory processes and fractional integration in econometrics (1996)
this work references cited by second hop

References

  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics12,570 cited
  • 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES2,567 cited
  • 1990Asymptotic Properties of Residual Based Tests for Cointegration1,980 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
  • 1992Cointegration in partial systems and the efficiency of single-equation analysis982 cited
  • 1989Common Stochastic Trends in a System of Exchange Rates626 cited
  • 1989Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets408 cited
  • 1992Cointegration and market efficiency237 cited
  • 1991Reconsidering ‘trends and random walks in macroeconomic time series’204 cited
  • 1994On Cointegration and Exchange Rate Dynamics198 cited
  • 1991Tests of exchange market efficiency: fragile evidence from cointegration tests

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

166 cited
  • 1989Foreign exchange market efficiency and cointegration118 cited
  • Cited by

    • 2006Rational speculative bubbles and duration dependence in exchange rates: an analysis of five currencies13 cited