Cointegration in interest rate futures trading on the Sydney future exchange

Applied Financial Economics

Volumn 6, Issue 3, 1996, Pages 251-257

  Bhar, Ramaprasad ^a  

^a UNIVERSITY OF TECHNOLOGY SYDNEY   (Australia)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0000264458     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/096031096334277     Document Type: Article

References (23)

1. Alexander, C. O. and Johnson, A. (1992) Are foreign exchange markets really efficient? Economic Letters, 40, 449-53.
2. Barnhart, S. W. and Szakmery, A. C. (1991) Testing the unbiased forward rate hypothesis: evidence on unit roots, cointegration, and stochastic coefficients, Journal of Financial and Quantitative Analysis, 26, 245-67.
3. Bessler, D. A. and Covey, T. (1991) Cointegration: some results on US cattle prices, The Journal of Futures Markets, 11, 461-74.
4. Bradley, M. G. and Lumpkin, S. A. (1992) The treasury yield curve as a cointegrated system, Journal of Financial and Quantitative Analysis, 27, 449-63.
5. Brenner, R. J. and Kroner, K. F. (1995) Arbitrage, cointegration, and testing the unbiasedness hypothesis in financial markets, Journal of Financial and Quantitative Analysis, 30, 23-42.
6. Campbell, J. Y. and Shiller, R. J. (1987) Cointegration and test of present value models, Journal of Political Economy, 95, 1062-88.
7. Chowdhury, A. R. (1991) Futures market efficiency: evidence from cointegration tests, The Journal of Futures Markets, 11, 577-687.
8. Copeland, L. S. (1991) Cointegration test with daily exchange rate data, Oxford Bulletin of Economics & Statistics, 53, 185-98.
9. Cuthbertson, K., Hall, S. and Taylor, M. (1991) Applied Econometric Technique, Philip-Allen, New York.
10. Dickey, D. A. (1976) Estimation and hypothesis testing for non-stationary time series. PhD Thesis, Iowa State University.
11. Dickey, D. A. and Fuller, W. A. (1981) Likelihood ratio statistics for autoregressive time series with a unit root, Econometrica, 49, 1057-72.
12. Engle, R. F. and Granger, C. W. J. (1987) Cointegration and error correction: representation, estimation and testing, Econometrica, 55, 251-76.
13. Fuller, W. A. (1976) Introduction to Statistical Time Series, John Wiley, New York.
14. Ghosh, A. (1993) Cointegration and error correction models: intertemporal causality between index and future prices, The Journal of Futures Markets, 13, 193-8.
15. Granger, C. W. J. (1983) Cointegrated variables and error correcting models. UCSD Discussion Paper, 83-13.
16. Hall, A. D., Anderson, H. M. and Granger, C. W. J. (1992) A cointegration analysis of treasury bill yields, The Review of Economics and Statistics, 74, 116-26.
17. Heath, D., Jarrow, R. A. and Morton, A. (1992) Bond pricing and the term structure of interest rates: a new methodology for contingent claims valuation, Econometrica, 60, 77-105.
18. Jarrow, R. A. and Turnbull, S. M. (1994) Delta, gamma and bucket hedging of interest rate derivatives, Applied Mathematical Finance, 1, 21-48.
19. Johansen, S. and Juselius, K. (1990) Maximum likelihood estimation and inference on cointegration - with applications to the demand for money, Oxford Bulletin of Economics and Statistics, 52, 169-210.
20. Meese, R. A. and Rogoff, K. (1988) Was it real? The exchange rate-interest differential relation over the modern floating-rate period, Journal of Finance, 22, 933-48.
21. Mougoue, H. (1992) The term structure of interest rate as a cointegrated system: empirical evidence from the euro-currency market, The Journal of Financial Research, XV, 285-96.
22. Phillips, P. C. B. and Perron, P. (1988) Testing for a unit root in time series regression, Biometrika, 75, 335-46.
23. Stock, J. H. and Watson, M. W. (1988) Testing for common trends, Journal of the American Statistical Association, 83, 1097-107.