-
1
-
-
0002663616
-
The nature of currency black markets: Empirical tests of weak and semistrong form efficiency
-
Aggarwal, R., 1990, The nature of currency black markets: Empirical tests of weak and semistrong form efficiency, International Trade Journal 5 (1), 1-24.
-
(1990)
International Trade Journal
, vol.5
, Issue.1
, pp. 1-24
-
-
Aggarwal, R.1
-
2
-
-
0011509076
-
Characteristics of Japanese finance: A review and introduction
-
Aggarwal, R. 1994, Characteristics of Japanese finance: A review and introduction, Global Finance Journal 5 (2), 141-167.
-
(1994)
Global Finance Journal
, vol.5
, Issue.2
, pp. 141-167
-
-
Aggarwal, R.1
-
3
-
-
38249006444
-
Southeast Asian and Japanese currencies: Preliminary evidence of a yen bloc?
-
Aggarwal, R. and M. Mougoue, 1993, Southeast Asian and Japanese currencies: Preliminary evidence of a yen bloc?, Economics Letters 41 (4), 161-166.
-
(1993)
Economics Letters
, vol.41
, Issue.4
, pp. 161-166
-
-
Aggarwal, R.1
Mougoue, M.2
-
4
-
-
0001084106
-
Mixed diffusion-jump process modeling of exchange rate movements
-
Akgiray, V. and G.G. Booth, 1988, Mixed diffusion-jump process modeling of exchange rate movements, Review of Economics and Statistics (November), 631-637.
-
(1988)
Review of Economics and Statistics
, Issue.NOVEMBER
, pp. 631-637
-
-
Akgiray, V.1
Booth, G.G.2
-
5
-
-
84977703517
-
Common stochastic trends in a system of exchange rates
-
Baillie, R. T. and T. Bollerslev, 1989, Common stochastic trends in a system of exchange rates, Journal of Finance 44 (1), 167-181.
-
(1989)
Journal of Finance
, vol.44
, Issue.1
, pp. 167-181
-
-
Baillie, R.T.1
Bollerslev, T.2
-
6
-
-
84993911790
-
Cointegration, fractional cointegration, and exchange rate dynamics
-
Baillie, R.T. and T. Bollerslev, 1994, Cointegration, fractional cointegration, and exchange rate dynamics, Journal of Finance 49 (2), 737-745.
-
(1994)
Journal of Finance
, vol.49
, Issue.2
, pp. 737-745
-
-
Baillie, R.T.1
Bollerslev, T.2
-
8
-
-
84974489285
-
Testing the unbiased forward rate hypothesis: Evidence on unit roots, cointegration and stochastic coefficients
-
Barnhart, S.W. and A.C. Szakmary, 1991, Testing the unbiased forward rate hypothesis: Evidence on unit roots, cointegration and stochastic coefficients, Journal of Financial and Quantitative Analysis 26 (2), 245-267.
-
(1991)
Journal of Financial and Quantitative Analysis
, vol.26
, Issue.2
, pp. 245-267
-
-
Barnhart, S.W.1
Szakmary, A.C.2
-
9
-
-
34848900983
-
ARCH analysis in finance: A review of theory and empirical evidence
-
Bollerslev, T., R.Y. Chen and K.F. Kroner, 1992, ARCH analysis in finance: A review of theory and empirical evidence, Journal of Econometrics 52 (1), 5-59.
-
(1992)
Journal of Econometrics
, vol.52
, Issue.1
, pp. 5-59
-
-
Bollerslev, T.1
Chen, R.Y.2
Kroner, K.F.3
-
10
-
-
0000895224
-
The statistical distribution of exchange rates
-
Boothe, P. and D. Glassman, 1987, The statistical distribution of exchange rates, Journal of International Economics 22 (May), 297-319.
-
(1987)
Journal of International Economics
, vol.22
, Issue.MAY
, pp. 297-319
-
-
Boothe, P.1
Glassman, D.2
-
11
-
-
0002629599
-
Patterns in exchange rate forecasts for twenty-five currencies
-
Chinn, M. and J. Frankel, 1994, Patterns in exchange rate forecasts for twenty-five currencies, Journal of Money Credit and Banking 26 (4), 759-770.
-
(1994)
Journal of Money Credit and Banking
, vol.26
, Issue.4
, pp. 759-770
-
-
Chinn, M.1
Frankel, J.2
-
12
-
-
38249042123
-
Robust tests for unit roots in foreign exchange markets
-
Corbae, D. and S. Ouliaris, 1986, Robust tests for unit roots in foreign exchange markets, Economic Letters 22, 375-380.
-
(1986)
Economic Letters
, vol.22
, pp. 375-380
-
-
Corbae, D.1
Ouliaris, S.2
-
13
-
-
85036258669
-
Distribution of estimators for autoregressive time series with a unit root
-
Dickey, D.A. and W. Fuller, 1979, Distribution of estimators for autoregressive time series with a unit root, Journal of the American Statistical Association 74, 427-431.
-
(1979)
Journal of the American Statistical Association
, vol.74
, pp. 427-431
-
-
Dickey, D.A.1
Fuller, W.2
-
14
-
-
0001800397
-
A primer on cointegration with an application to money and income
-
Dickey, D.A., D.W. Jansen and D.L. Thornton, 1991, A primer on cointegration with an application to money and income, FRB of St. Louis Economic Review (March April), 58-78.
-
(1991)
FRB of St. Louis Economic Review
, Issue.MARCH APRIL
, pp. 58-78
-
-
Dickey, D.A.1
Jansen, D.W.2
Thornton, D.L.3
-
15
-
-
84993869085
-
On cointegration and exchange rate dynamics
-
Diebold, F.X., J. Gardeazabal and K. Yilmaz, 1994, On cointegration and exchange rate dynamics, Journal of Finance 49 (2), 727-735.
-
(1994)
Journal of Finance
, vol.49
, Issue.2
, pp. 727-735
-
-
Diebold, F.X.1
Gardeazabal, J.2
Yilmaz, K.3
-
16
-
-
38249010765
-
Cointegration and asset pricing
-
Dwyer, G.P. and M.S. Wallace, 1992, Cointegration and asset pricing, Journal of International Money and Finance 11 (4), 318-327.
-
(1992)
Journal of International Money and Finance
, vol.11
, Issue.4
, pp. 318-327
-
-
Dwyer, G.P.1
Wallace, M.S.2
-
18
-
-
0000051984
-
Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation
-
Engle, R.F., 1982, Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation, Econometrica 50, 987-1007.
-
(1982)
Econometrica
, vol.50
, pp. 987-1007
-
-
Engle, R.F.1
-
19
-
-
0001264648
-
Estimating time-varying risk premia in the term structure: The ARCH-M model
-
Engle, R.F., D.M. Lilien and R.P. Robins, 1987, Estimating time-varying risk premia in the term structure: The ARCH-M model, Econometrica 55, 391-407.
-
(1987)
Econometrica
, vol.55
, pp. 391-407
-
-
Engle, R.F.1
Lilien, D.M.2
Robins, R.P.3
-
20
-
-
0000013567
-
Co-integration and error correction: Representation, estimation, and testing
-
Engle, R.F. and C.W.J. Granger, 1987, Co-integration and error correction: Representation, estimation, and testing, Econometrica 55, 251-276.
-
(1987)
Econometrica
, vol.55
, pp. 251-276
-
-
Engle, R.F.1
Granger, C.W.J.2
-
21
-
-
0003033773
-
Is Japan creating a yen block in East Asia and the Pacific?
-
J. A. Frankel and M. Kahler, eds., University of Chicago Press, Chicago
-
Frankel, J.A., 1993, Is Japan creating a yen block in East Asia and the Pacific?, in: J. A. Frankel and M. Kahler, eds., Regionalism and rivalry: Japan and the United States in Pacific Asia (University of Chicago Press, Chicago), 53-85.
-
(1993)
Regionalism and Rivalry: Japan and the United States in Pacific Asia
, pp. 53-85
-
-
Frankel, J.A.1
-
26
-
-
0002044953
-
Financial liberalization in the Pacific basin: Implications for real interest rate linkages
-
Glick, R and M. Hutchison, 1990, Financial liberalization in the Pacific basin: Implications for real interest rate linkages, Journal of Japanese and International Economies 4 (1), 36-48.
-
(1990)
Journal of Japanese and International Economies
, vol.4
, Issue.1
, pp. 36-48
-
-
Glick, R.1
Hutchison, M.2
-
27
-
-
84981566273
-
Developments in the study of cointegrated economic variables
-
Granger, C.W.J., 1986, Developments in the study of cointegrated economic variables, Oxford Bulletin of Economics and Statistics 48, 213-228.
-
(1986)
Oxford Bulletin of Economics and Statistics
, vol.48
, pp. 213-228
-
-
Granger, C.W.J.1
-
28
-
-
0011500234
-
Dealing with exotic currencies
-
Gray, G., 1991, Dealing with exotic currencies, Corporate Finance 38 (2), 9-11.
-
(1991)
Corporate Finance
, vol.38
, Issue.2
, pp. 9-11
-
-
Gray, G.1
-
29
-
-
38249024451
-
Market efficiency and cointegration: An application to the sterling and deutsche mark exchange markets
-
Hakkio, C.S. and M. Rush, 1989, Market efficiency and cointegration: An application to the sterling and deutsche mark exchange markets, Journal of International Money and Finance 8, 75-88.
-
(1989)
Journal of International Money and Finance
, vol.8
, pp. 75-88
-
-
Hakkio, C.S.1
Rush, M.2
-
31
-
-
45449124697
-
The statistical properties of daily foreign exchange rates: 1974-1984
-
Hsieh, D.A., 1988, The statistical properties of daily foreign exchange rates: 1974-1984, Journal of International Economics 24, 129-145.
-
(1988)
Journal of International Economics
, vol.24
, pp. 129-145
-
-
Hsieh, D.A.1
-
32
-
-
0000605911
-
Testing for nonlinear dependency in daily foreign exchange rates
-
Hsieh, D.A., 1989, Testing for nonlinear dependency in daily foreign exchange rates, Journal of Business 62, 339-368.
-
(1989)
Journal of Business
, vol.62
, pp. 339-368
-
-
Hsieh, D.A.1
-
34
-
-
84981579311
-
Maximum likelihood estimation and inference on cointegration with applications to the demand for money
-
Johansen, S. and K. Juselius, 1990, Maximum likelihood estimation and inference on cointegration with applications to the demand for money, Oxford Bulletin of Economics and Statistics 52, 169-210.
-
(1990)
Oxford Bulletin of Economics and Statistics
, vol.52
, pp. 169-210
-
-
Johansen, S.1
Juselius, K.2
-
35
-
-
0000283347
-
Testing normality in econometric models
-
Kiefer, N.A. and M. Salmon, 1983, Testing normality in econometric models, Economic Letters 11 (1), 123-127.
-
(1983)
Economic Letters
, vol.11
, Issue.1
, pp. 123-127
-
-
Kiefer, N.A.1
Salmon, M.2
-
36
-
-
0001777365
-
Open regionalism in the Pacific: A world of trading blocs?
-
Kim, D.-C., 1992, Open regionalism in the Pacific: A world of trading blocs?, American Economic Review 82 (2), 79-83.
-
(1992)
American Economic Review
, vol.82
, Issue.2
, pp. 79-83
-
-
Kim, D.-C.1
-
37
-
-
0000907890
-
Purchasing power parity in the long run
-
Kim, Y., 1990, Purchasing power parity in the long run, Journal of Money Credit and Banking 22 (4), 491-503.
-
(1990)
Journal of Money Credit and Banking
, vol.22
, Issue.4
, pp. 491-503
-
-
Kim, Y.1
-
38
-
-
84916450577
-
Japanese and American direct investment in Asia: A comparative analysis
-
Kojima, K., 1985, Japanese and American direct investment in Asia: A comparative analysis, Hitotsubashi Journal Economics 26 (1).
-
(1985)
Hitotsubashi Journal Economics
, vol.26
, Issue.1
-
-
Kojima, K.1
-
39
-
-
0002075422
-
-
Federal Reserve Bank of Kansas City, Kansas City
-
Krugman, P., 1991, The move towards free trade zones, Policy implications of trade and currency zones (Federal Reserve Bank of Kansas City, Kansas City), 7-42.
-
(1991)
The Move towards Free Trade Zones, Policy Implications of Trade and Currency Zones
, pp. 7-42
-
-
Krugman, P.1
-
40
-
-
0003156705
-
Emerging regional arrangements: Building blocks or stumbling blocks
-
R. O'Brien, ed., Oxford University Press, New York
-
Lawrence, R., 1991, Emerging regional arrangements: Building blocks or stumbling blocks, in: R. O'Brien, ed., Finance in the international economy (Oxford University Press, New York) 24-36.
-
(1991)
Finance in the International Economy
, pp. 24-36
-
-
Lawrence, R.1
-
41
-
-
0000443739
-
Risk aversion and the martingale property of stock returns
-
Leroy, S.F., 1973, Risk aversion and the martingale property of stock returns, International Economic Review 14, 436-446.
-
(1973)
International Economic Review
, vol.14
, pp. 436-446
-
-
Leroy, S.F.1
-
42
-
-
84988101329
-
Japanese direct foreign investment and trade flows in the Asia-Pacific region
-
Lii, S.-Y., 1994, Japanese direct foreign investment and trade flows in the Asia-Pacific region, Asian Economics Journal 8 (2), 181-203.
-
(1994)
Asian Economics Journal
, vol.8
, Issue.2
, pp. 181-203
-
-
Lii, S.-Y.1
-
43
-
-
84977729848
-
A variance-ratio test of random walks in foreign exchange rates
-
Liu, C.Y. and J. He, 1991, A variance-ratio test of random walks in foreign exchange rates, Journal of Finance 46 (2), 773-785.
-
(1991)
Journal of Finance
, vol.46
, Issue.2
, pp. 773-785
-
-
Liu, C.Y.1
He, J.2
-
44
-
-
38249026083
-
Foreign exchange market efficiency and cointegration
-
Macdonald, D. and M.P. Taylor, 1989, Foreign exchange market efficiency and cointegration, Economic Letters 29 (1), 63-68.
-
(1989)
Economic Letters
, vol.29
, Issue.1
, pp. 63-68
-
-
Macdonald, D.1
Taylor, M.P.2
-
45
-
-
84977424601
-
The distribution of foreign exchange price changes: Trading day effects and risk measurement
-
McFarland, J.W., R.R. Pettit and S.K. Sung, 1982, The distribution of foreign exchange price changes: Trading day effects and risk measurement, Journal of Finance 37, 693-715.
-
(1982)
Journal of Finance
, vol.37
, pp. 693-715
-
-
McFarland, J.W.1
Pettit, R.R.2
Sung, S.K.3
-
46
-
-
33846907054
-
Empirical exchange rate models of the seventies: Do they fit out-of-sample?
-
Meese, R.A. and K. Rogoff, 1983, Empirical exchange rate models of the seventies: Do they fit out-of-sample?, Journal of International Economics 14 (1), 3-24.
-
(1983)
Journal of International Economics
, vol.14
, Issue.1
, pp. 3-24
-
-
Meese, R.A.1
Rogoff, K.2
-
47
-
-
84974399921
-
Testing for unit roots in models with structural change
-
Park, J.Y. and J. Sung, 1994, Testing for unit roots in models with structural change, Econometric Theory 44, 917-936.
-
(1994)
Econometric Theory
, vol.44
, pp. 917-936
-
-
Park, J.Y.1
Sung, J.2
-
48
-
-
0000899296
-
The great crash, the oil price shock, and the unit root hypothesis
-
Perron, P., 1989, The great crash, the oil price shock, and the unit root hypothesis, Econometrica 57, 1361-1401.
-
(1989)
Econometrica
, vol.57
, pp. 1361-1401
-
-
Perron, P.1
-
49
-
-
77956888124
-
Testing for a unit root in time series regression
-
Phillips, P.C.B. and P. Perron, 1988, Testing for a unit root in time series regression, Biometrika 75, 335-346.
-
(1988)
Biometrika
, vol.75
, pp. 335-346
-
-
Phillips, P.C.B.1
Perron, P.2
-
50
-
-
0000248987
-
Does the real exchange rate follow a random walk?: The pacific basin perspective
-
Phylaktis, K. and Y. Kassimatis, 1994. Does the real exchange rate follow a random walk?: The pacific basin perspective, Journal of International Money and Finance 13 (4), 476-495.
-
(1994)
Journal of International Money and Finance
, vol.13
, Issue.4
, pp. 476-495
-
-
Phylaktis, K.1
Kassimatis, Y.2
-
51
-
-
0000587631
-
Exchange rate risk under generalized floating: Eight asian currencies
-
Rana, P., 1981, Exchange rate risk under generalized floating: Eight asian currencies, Journal of International Economics 11, 459-466.
-
(1981)
Journal of International Economics
, vol.11
, pp. 459-466
-
-
Rana, P.1
-
52
-
-
0011500235
-
-
Cambridge University Press, New York
-
Sato, R., R.M. Levich and R.V. Ramachandran (eds.), 1994, Japan, Europe, and International Financial Markets (Cambridge University Press, New York).
-
(1994)
Japan, Europe, and International Financial Markets
-
-
Sato, R.1
Levich, R.M.2
Ramachandran, R.V.3
-
53
-
-
0001347325
-
Tests of exchange market efficiency: Fragile evidence from cointegration tests
-
Sephton, P.S. and H.K. Larsen, 1994, Tests of exchange market efficiency: Fragile evidence from cointegration tests, Journal of International Money and Finance 10, 561-570.
-
(1994)
Journal of International Money and Finance
, vol.10
, pp. 561-570
-
-
Sephton, P.S.1
Larsen, H.K.2
-
54
-
-
45549119048
-
Bayesian skepticism on unit Root econometrics
-
Sims, C.A., 1988, Bayesian skepticism on unit Root econometrics, Journal of Economic Dynamics and Control 12, 463-474.
-
(1988)
Journal of Economic Dynamics and Control
, vol.12
, pp. 463-474
-
-
Sims, C.A.1
-
56
-
-
38249009513
-
Nominal exchange rates and unit roots: A reconsideration
-
Whitt, J.A., Jr., 1992, Nominal exchange rates and unit roots: A reconsideration, Journal of International Money and Finance 11, 539-551.
-
(1992)
Journal of International Money and Finance
, vol.11
, pp. 539-551
-
-
Whitt J.A., Jr.1
|