A cointegration test for oil futures market efficiency
- 1 December 1993
- journal article
- research article
- Published by Wiley in Journal of Futures Markets
- Vol. 13 (8) , 933-941
- https://doi.org/10.1002/fut.3990130810
Abstract
No abstract availableKeywords
This publication has 19 references indexed in Scilit:
- Cointegration and market efficiencyJournal of International Money and Finance, 1992
- Asymptotic Distributions of Unit-Root Tests When the Process Is Nearly StationaryJournal of Business & Economic Statistics, 1991
- Market efficiency and cointegration: an application to the sterling and deutschemark exchange marketsJournal of International Money and Finance, 1989
- Nested Reduced-Rank Autogressive Models for Multiple Time SeriesJournal of the American Statistical Association, 1988
- Asymptotic Properties of Least Squares Estimators of Cointegrating VectorsEconometrica, 1987
- Testing for unit roots in autoregressive-moving average models of unknown orderBiometrika, 1984
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom InflationEconometrica, 1982
- The "Speculative Efficiency" HypothesisThe Journal of Business, 1981
- Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric AnalysisJournal of Political Economy, 1980
- Distribution of the Estimators for Autoregressive Time Series With a Unit RootJournal of the American Statistical Association, 1979