-
1
-
-
0003582520
-
Co-integration, Error-correction, and the Econometric Analysis
-
Oxford: Oxford University Press
-
Bannerjee A., Dolado J., Galbraith J.W., Hendry D.F. Co-integration, Error-correction, and the Econometric Analysis. Non-stationary Data. 1993;Oxford University Press, Oxford.
-
(1993)
Non-stationary Data
-
-
Bannerjee, A.1
Dolado, J.2
Galbraith, J.W.3
Hendry, D.F.4
-
2
-
-
0000823270
-
Conflict among Criteria for Testing Hypotheses in the Multivariate Linear Regression Model
-
Berndt E.R., Savin N.E. Conflict among Criteria for Testing Hypotheses in the Multivariate Linear Regression Model. Econometrica. 45:1977;1263-1278.
-
(1977)
Econometrica
, vol.45
, pp. 1263-1278
-
-
Berndt, E.R.1
Savin, N.E.2
-
3
-
-
0000323665
-
The Volume of Transactions and Price Changes on the New York Stock Exchange
-
(July-August)
-
Crouch R.L. The Volume of Transactions and Price Changes on the New York Stock Exchange. Financial Analysts Journal. 1970;104-109. (July-August).
-
(1970)
Financial Analysts Journal
, pp. 104-109
-
-
Crouch, R.L.1
-
4
-
-
0002901012
-
Trading Rules, Large Blocks, and the Speed of Price Adjustment
-
Dann L., Mayers D., Raab R. Trading Rules, Large Blocks, and the Speed of Price Adjustment. Journal of Financial Economics. 4:1977;3-22.
-
(1977)
Journal of Financial Economics
, vol.4
, pp. 3-22
-
-
Dann, L.1
Mayers, D.2
Raab, R.3
-
5
-
-
0000756720
-
The Stochastic Dependence of Security Price Changes and Transactions Volumes
-
Epps T., Epps M. The Stochastic Dependence of Security Price Changes and Transactions Volumes. Econometrica. 44:1976;305-321.
-
(1976)
Econometrica
, vol.44
, pp. 305-321
-
-
Epps, T.1
Epps, M.2
-
6
-
-
0001197571
-
Conflict among the Criteria Revisited: The W, LR, & LM Tests
-
Evans G.B.A., Savin N.E. Conflict among the Criteria Revisited: The W, LR, & LM Tests. Econometrica. 50:1982;737-748.
-
(1982)
Econometrica
, vol.50
, pp. 737-748
-
-
Evans, G.B.A.1
Savin, N.E.2
-
7
-
-
84949325567
-
A Comparison of Tests of the Independence of Covariance Stationary Time Series
-
Geweke J. A Comparison of Tests of the Independence of Covariance Stationary Time Series. Journal of the American Statistical Association. 76:1981a;363-373.
-
(1981)
Journal of the American Statistical Association
, vol.76
, pp. 363-373
-
-
Geweke, J.1
-
8
-
-
0000752484
-
The Approximate Slopes of Econometric Tests
-
Geweke J. The Approximate Slopes of Econometric Tests. Econometrica. 49:1981b;1427-1442.
-
(1981)
Econometrica
, vol.49
, pp. 1427-1442
-
-
Geweke, J.1
-
9
-
-
70350118403
-
Inference and Causality in Economic Time Series Models
-
Z. Griliches, Intrilligator M. Amsterdam: Elsevier Science
-
Geweke J. Inference and Causality in Economic Time Series Models. Griliches Z., Intrilligator M. Handbook of Econometrics. Vol. 2:1984;1101-1142 Elsevier Science, Amsterdam.
-
(1984)
Handbook of Econometrics
, vol.2
, pp. 1101-1142
-
-
Geweke, J.1
-
10
-
-
0003067505
-
Estimating Regression Models of Finite But Unknown Order
-
Geweke J., Meese R. Estimating Regression Models of Finite But Unknown Order. International Economic Review. 22:1981;55-70.
-
(1981)
International Economic Review
, vol.22
, pp. 55-70
-
-
Geweke, J.1
Meese, R.2
-
11
-
-
0000351727
-
Investigating Causal Relations by Econometric Models and Cross Spectral Methods
-
Granger C.W.J. Investigating Causal Relations by Econometric Models and Cross Spectral Methods. Econometrica. 37:1969;424-438.
-
(1969)
Econometrica
, vol.37
, pp. 424-438
-
-
Granger, C.W.J.1
-
12
-
-
0000309744
-
Small-sample Properties of Three Tests for Granger-causal Ordering in a Bivariate Stochastic System
-
Guilkey D.K., Salemi M.K. Small-sample Properties of Three Tests for Granger-causal Ordering in a Bivariate Stochastic System. Review of Economics and Statistics. 64:1982;668-680.
-
(1982)
Review of Economics and Statistics
, vol.64
, pp. 668-680
-
-
Guilkey, D.K.1
Salemi, M.K.2
-
13
-
-
46149130184
-
Transaction Data Study of Weekly and Intradaily Patterns in Stock Returns
-
Harris L. Transaction Data Study of Weekly and Intradaily Patterns in Stock Returns. Journal of Financial Economics. 16:1986;99-117.
-
(1986)
Journal of Financial Economics
, vol.16
, pp. 99-117
-
-
Harris, L.1
-
14
-
-
0001592683
-
Checking the Independence of Two Covariance-Stationary Times Series
-
Haugh L. Checking the Independence of Two Covariance-Stationary Times Series. Journal ofthe American Statistical Association. 71:1976;378-385.
-
(1976)
Journal Ofthe American Statistical Association
, vol.71
, pp. 378-385
-
-
Haugh, L.1
-
15
-
-
84993869057
-
Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation
-
Hiemstra C., Jones J. Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation. Journal of Finance. 49:1994;1639-1664.
-
(1994)
Journal of Finance
, vol.49
, pp. 1639-1664
-
-
Hiemstra, C.1
Jones, J.2
-
18
-
-
0004113694
-
-
New York: J. Wiley & Sons
-
Judge G.G., Griffiths W.E., Hill R.C., Lüutkepohl H., Lee T-C. The Theory and Practice of Econometrics, 2e. 1985;J. Wiley & Sons, New York.
-
(1985)
The Theory and Practice of Econometrics, 2e
-
-
Judge, G.G.1
Griffiths, W.E.2
Hill, R.C.3
Lüutkepohl, H.4
Lee, T-C.5
-
19
-
-
0000125704
-
The Effect of Detrending in Granger Causality Tests
-
Kang H. The Effect of Detrending in Granger Causality Tests. Journal of Business and Economic Statistics. 3:1985;344-349.
-
(1985)
Journal of Business and Economic Statistics
, vol.3
, pp. 344-349
-
-
Kang, H.1
-
20
-
-
84919214538
-
The Relation between Price Changes and Trading Volume: A Survey
-
Karpoff J.M. The Relation between Price Changes and Trading Volume: A Survey. Journal of Financial and Quantitative Analysis. 22:1987;109-125.
-
(1987)
Journal of Financial and Quantitative Analysis
, vol.22
, pp. 109-125
-
-
Karpoff, J.M.1
-
22
-
-
0010676283
-
A Further Note on the Detection of Granger Instantaneous Causality
-
Layton A.P. A Further Note on the Detection of Granger Instantaneous Causality. Journal of Time Series Analysis. 5:1984;15-18.
-
(1984)
Journal of Time Series Analysis
, vol.5
, pp. 15-18
-
-
Layton, A.P.1
-
24
-
-
84979432077
-
A Spectral Analysis of Transactions Stock Market Data
-
McCullough B.D. A Spectral Analysis of Transactions Stock Market Data. Financial Review. 30:1995;823-842.
-
(1995)
Financial Review
, vol.30
, pp. 823-842
-
-
McCullough, B.D.1
-
25
-
-
0001528203
-
On Testing the Hypothesis that the Real Rate of Interest is Constant
-
Nelson C.R., Schwert G.W. On Testing the Hypothesis that the Real Rate of Interest is Constant. American Economic Review. 67:1977;478-486.
-
(1977)
American Economic Review
, vol.67
, pp. 478-486
-
-
Nelson, C.R.1
Schwert, G.W.2
-
26
-
-
84986492384
-
A Comprehensive Examination of Volume Effects and Seasonality in Daily Security Returns
-
Pettengill G.N., Jordan B.D. A Comprehensive Examination of Volume Effects and Seasonality in Daily Security Returns. Journal of Financial Research. 11:1988;57-70.
-
(1988)
Journal of Financial Research
, vol.11
, pp. 57-70
-
-
Pettengill, G.N.1
Jordan, B.D.2
-
27
-
-
0010715406
-
The Characterization of Instantaneous Causality: A Correction
-
Price J.M. The Characterization of Instantaneous Causality: A Correction. Journal of Econometrics. 10:1979;253-256.
-
(1979)
Journal of Econometrics
, vol.10
, pp. 253-256
-
-
Price, J.M.1
-
29
-
-
84944830455
-
New Findings Regarding Day-of-the-Week Returns over Trading and Non-Trading Periods: A Note
-
Rogalski R.J. New Findings Regarding Day-of-the-Week Returns over Trading and Non-Trading Periods: A Note. The Journal of Finance. 39:1984;1603-1614.
-
(1984)
The Journal of Finance
, vol.39
, pp. 1603-1614
-
-
Rogalski, R.J.1
-
30
-
-
0000641465
-
The Summation of Random Causes as The Source of Cyclical Processes
-
Slutsky E. The Summation of Random Causes as The Source of Cyclical Processes. Econometrica. 5:1937;105-146.
-
(1937)
Econometrica
, vol.5
, pp. 105-146
-
-
Slutsky, E.1
-
31
-
-
84986467747
-
A Further Examination of Stock Price Changes and Transactions Volume
-
Smirlock M., Starks L. A Further Examination of Stock Price Changes and Transactions Volume. Journal of Financial Research. 8:1985;217-225.
-
(1985)
Journal of Financial Research
, vol.8
, pp. 217-225
-
-
Smirlock, M.1
Starks, L.2
-
32
-
-
0000059749
-
Day of the Week and Intraday Effects in Stock Returns
-
Smirlock M., Starks L. Day of the Week and Intraday Effects in Stock Returns. Journal of Financial Economics. 17:1986;197-210.
-
(1986)
Journal of Financial Economics
, vol.17
, pp. 197-210
-
-
Smirlock, M.1
Starks, L.2
-
33
-
-
38249030616
-
An Empirical Analysis of the Stock Price-Volume Relationship
-
Smirlock M., Starks L. An Empirical Analysis of the Stock Price-Volume Relationship. Journal of Banking and Finance. 12:1988;31-41.
-
(1988)
Journal of Banking and Finance
, vol.12
, pp. 31-41
-
-
Smirlock, M.1
Starks, L.2
-
34
-
-
0000304809
-
Note on the Correlation of First Differences of Averages in a Random Chain
-
Working H. Note on the Correlation of First Differences of Averages in a Random Chain. Econometrica. 28:1960;909-915.
-
(1960)
Econometrica
, vol.28
, pp. 909-915
-
-
Working, H.1
|