COINTEGRATION TESTS WITH DAILY EXCHANGE RATE DATA
- 1 May 1991
- journal article
- Published by Wiley in Oxford Bulletin of Economics and Statistics
- Vol. 53 (2) , 185-198
- https://doi.org/10.1111/j.1468-0084.1991.mp53002005.x
Abstract
No abstract availableKeywords
This publication has 19 references indexed in Scilit:
- The Message in Daily Exchange Rates: A Conditional-Variance TaleJournal of Business & Economic Statistics, 1989
- Market efficiency and cointegration: an application to the sterling and deutschemark exchange marketsJournal of International Money and Finance, 1989
- On the informational content of spot and forward exchange ratesJournal of International Money and Finance, 1988
- Asymptotic Properties of Least Squares Estimators of Cointegrating VectorsEconometrica, 1987
- Forecasting and testing in co-integrated systemsJournal of Econometrics, 1987
- Co-Integration and Error Correction: Representation, Estimation, and TestingEconometrica, 1987
- Conditional variance and the risk premium in the foreign exchange marketJournal of International Economics, 1985
- An investigation of risk and return in forward foreign exchangeJournal of International Money and Finance, 1984
- Testing Rational Expectations and Efficiency in the Foreign Exchange MarketEconometrica, 1983
- Flexible Exchange Rates, Prices, and the Role of "News": Lessons from the 1970sJournal of Political Economy, 1981