-
1
-
-
84977703517
-
Common Stochastic Trends in a System of Exchange Rates
-
Baillie, Richard, and Tim Bollerslev. "Common Stochastic Trends in a System of Exchange Rates." Journal of Finance 44 (1989): 167-81.
-
(1989)
Journal of Finance
, vol.44
, pp. 167-181
-
-
Baillie, R.1
Bollerslev, T.2
-
2
-
-
38249001209
-
The Size of the Random Walk in Macroeconomic Time Series
-
Raj, Baldev. "The Size of the Random Walk in Macroeconomic Time Series." Journal of Macroeconomics 15 (1993): 139-51.
-
(1993)
Journal of Macroeconomics
, vol.15
, pp. 139-151
-
-
Raj, B.1
-
3
-
-
0003582520
-
-
Oxford: Oxford University Press
-
Banerjee, Anindya, J. Dolado, J. Galbraith, and David Hendry. Co-Integration, Error-Correction, and the Econometric Analysis of Non-Stationary Data. Oxford: Oxford University Press, 1993.
-
(1993)
Co-Integration, Error-Correction, and the Econometric Analysis of Non-Stationary Data
-
-
Banerjee, A.1
Dolado, J.2
Galbraith, J.3
Hendry, D.4
-
4
-
-
84963238302
-
Long-Term Relationships between International Share Prices
-
Blackman, K., K. Holden, and W. Thomas. "Long-Term Relationships between International Share Prices." Applied Financial Economics 4 (1994): 297-304.
-
(1994)
Applied Financial Economics
, vol.4
, pp. 297-304
-
-
Blackman, K.1
Holden, K.2
Thomas, W.3
-
6
-
-
0000125480
-
International Evidence on the Persistence of Economic Fluctuations
-
_. "International Evidence on the Persistence of Economic Fluctuations." Journal of Monetary Economics 23 (1989): 319-33.
-
(1989)
Journal of Monetary Economics
, vol.23
, pp. 319-333
-
-
-
7
-
-
84987492218
-
An Empirical Analysis of Stock Prices in Major Asian Markets and the United States
-
Chan, Kam, Benton Gup, and Ming-Shiun Pan. "An Empirical Analysis of Stock Prices in Major Asian Markets and the United States." Financial Review 27 (1992): 289-307.
-
(1992)
Financial Review
, vol.27
, pp. 289-307
-
-
Chan, K.1
Gup, B.2
Pan, M.-S.3
-
8
-
-
84981676740
-
Finite-Sample Sizes of Johansen's Likelihood Ratio Tests for Cointegration
-
Cheung, Y. and K. Lai. "Finite-Sample Sizes of Johansen's Likelihood Ratio Tests for Cointegration." Oxford Bulletin of Economics and Statistics 55 (1993): 313-28.
-
(1993)
Oxford Bulletin of Economics and Statistics
, vol.55
, pp. 313-328
-
-
Cheung, Y.1
Lai, K.2
-
9
-
-
21844484426
-
Stock Market Interdependencies: Evidence from the Asian NIEs
-
Chowdhury, Abdur. "Stock Market Interdependencies: Evidence from the Asian NIEs." Journal of Macroeconomics 16 (1994): 629-51.
-
(1994)
Journal of Macroeconomics
, vol.16
, pp. 629-651
-
-
Chowdhury, A.1
-
10
-
-
84963254704
-
Stochastic Trends and Stock Prices: An International Inquiry
-
Choudhry, Taufiq. "Stochastic Trends and Stock Prices: An International Inquiry." Applied Financial Economics 4 (1994): 383-90.
-
(1994)
Applied Financial Economics
, vol.4
, pp. 383-390
-
-
Choudhry, T.1
-
11
-
-
0000028584
-
Common Stochastic Trends in Pacific Rim Stock Markets
-
Chung, P., and D. Liu. "Common Stochastic Trends in Pacific Rim Stock Markets." Quarterly Review of Economics and Finance 34 (1994): 241-59.
-
(1994)
Quarterly Review of Economics and Finance
, vol.34
, pp. 241-259
-
-
Chung, P.1
Liu, D.2
-
12
-
-
84936823544
-
How Big is the Random Walk in GNP?
-
Cochrane, John. "How Big is the Random Walk in GNP?" Journal of Political Economy 96 (1988): 893-920.
-
(1988)
Journal of Political Economy
, vol.96
, pp. 893-920
-
-
Cochrane, J.1
-
13
-
-
38249006793
-
Common Stochastic Trends in European Stock Markets
-
Corhay, A., A. Tourani, and J. Urbain. "Common Stochastic Trends in European Stock Markets." Economics Letters 42 (1993): 385-90.
-
(1993)
Economics Letters
, vol.42
, pp. 385-390
-
-
Corhay, A.1
Tourani, A.2
Urbain, J.3
-
14
-
-
0001403098
-
The Power Problems of Unit Root Tests in Time Series with Autoregressive Errors
-
DeJong, David, John Nankervis, Nathan Savin, and Charles Whiteman. "The Power Problems of Unit Root Tests in Time Series with Autoregressive Errors." Journal of Econometrics 53 (1992): 323-44.
-
(1992)
Journal of Econometrics
, vol.53
, pp. 323-344
-
-
DeJong, D.1
Nankervis, J.2
Savin, N.3
Whiteman, C.4
-
15
-
-
0000715504
-
Are Economic Fluctuations Really Persistent? A Reinterpretation of Some International Evidence
-
Demery, David, and Nigel Duck. "Are Economic Fluctuations Really Persistent? A Reinterpretation of Some International Evidence." Economic Journal 102 (1992): 1094-201.
-
(1992)
Economic Journal
, vol.102
, pp. 1094-1201
-
-
Demery, D.1
Duck, N.2
-
16
-
-
35248821084
-
Determining the Order of Differencing in Autoregressive Process
-
Dickey, David, and Sastary Pantula. "Determining the Order of Differencing in Autoregressive Process." Journal of Business and Economic Statistics 5 (1987): 455-61.
-
(1987)
Journal of Business and Economic Statistics
, vol.5
, pp. 455-461
-
-
Dickey, D.1
Pantula, S.2
-
17
-
-
84981645316
-
Cointegration Time Series: A Guide to Estimation and Hypothesis Testing
-
Dickey, David, and Robert Rossana. "Cointegration Time Series: A Guide to Estimation and Hypothesis Testing." Oxford Bulletin of Economics and Statistics 56 (1994): 325-53.
-
(1994)
Oxford Bulletin of Economics and Statistics
, vol.56
, pp. 325-353
-
-
Dickey, D.1
Rossana, R.2
-
20
-
-
0000013567
-
Cointegration and Error Correction: Representation, Estimation and Testing
-
Engle, Robert, and Clive Granger. "Cointegration and Error Correction: Representation, Estimation and Testing." Econometrica 55 (1987): 251-76.
-
(1987)
Econometrica
, vol.55
, pp. 251-276
-
-
Engle, R.1
Granger, C.2
-
21
-
-
84936823605
-
Permanent and Temporary Components of Stock Prices
-
Fama, Eugene, and Kenneth French. "Permanent and Temporary Components of Stock Prices." Journal of Political Economy 96 (1988): 246-73.
-
(1988)
Journal of Political Economy
, vol.96
, pp. 246-273
-
-
Fama, E.1
French, K.2
-
24
-
-
33748632313
-
Five Alternative Methods of Estimating Long-Run Equilibrium Relationships
-
Gonzalo, Jesus. "Five Alternative Methods of Estimating Long-Run Equilibrium Relationships." Journal of Econometrics 60 (1994): 203-33.
-
(1994)
Journal of Econometrics
, vol.60
, pp. 203-233
-
-
Gonzalo, J.1
-
25
-
-
38249024451
-
Market Efficiency and Cointegration: An Application to the Sterling and Deutschemark Exchange Markets
-
Hakkio, Craig, and Mark Rush. "Market Efficiency and Cointegration: An Application to the Sterling and Deutschemark Exchange Markets." Journal of International Money and Finance 8 (1989): 75-88.
-
(1989)
Journal of International Money and Finance
, vol.8
, pp. 75-88
-
-
Hakkio, C.1
Rush, M.2
-
26
-
-
0001884299
-
A Review of Methods of Estimating Cointegration Relationships
-
Colin Hargreaves. Oxford: Oxford University Press
-
Hargreaves, Colin, ed. "A Review of Methods of Estimating Cointegration Relationships." In Nonstationary Time Series Analysis and Cointegration. Colin Hargreaves. Oxford: Oxford University Press, 1994.
-
(1994)
Nonstationary Time Series Analysis and Cointegration
-
-
Hargreaves, C.1
-
28
-
-
0003426437
-
-
Washington, D.C.
-
International Finance Corporation (IFC). Emerging Stock Markets Factbook. Washington, D.C., 1993.
-
(1993)
Emerging Stock Markets Factbook
-
-
-
29
-
-
0003185664
-
A System of Stock Prices in World Stock Exchanges: Common Stochastic Trends for 1975-1990?
-
Jeon, Bang, and Thomas Chiang. "A System of Stock Prices in World Stock Exchanges: Common Stochastic Trends for 1975-1990?" Journal of Economics and Business 43 (1991): 329-38.
-
(1991)
Journal of Economics and Business
, vol.43
, pp. 329-338
-
-
Jeon, B.1
Chiang, T.2
-
30
-
-
0345510809
-
Statistical Analysis of Cointegration Vectors
-
Johansen, Soren. "Statistical Analysis of Cointegration Vectors." Journal of Economic Dynamics and Control 12 (1988): 231-54.
-
(1988)
Journal of Economic Dynamics and Control
, vol.12
, pp. 231-254
-
-
Johansen, S.1
-
31
-
-
84981621724
-
Determination of Cointegration Rank in the Presence of a Linear Trend
-
_. "Determination of Cointegration Rank in the Presence of a Linear Trend." Oxford Bulletin of Economics and Statistics 54 (1992): 383-97.
-
(1992)
Oxford Bulletin of Economics and Statistics
, vol.54
, pp. 383-397
-
-
-
32
-
-
84981579311
-
Maximum Likelihood Estimation and Inference on Cointegration with Application to the Demand for Money
-
Johansen, Soren, and Katarina Juselius. "Maximum Likelihood Estimation and Inference on Cointegration with Application to the Demand for Money." Oxford Bulletin of Economics and Statistics 52 (1990): 169-210.
-
(1990)
Oxford Bulletin of Economics and Statistics
, vol.52
, pp. 169-210
-
-
Johansen, S.1
Juselius, K.2
-
33
-
-
0002653201
-
Common Stochastic Trends in International Stock Markets
-
Kasa, Kenneth. "Common Stochastic Trends in International Stock Markets." Journal of Monetary Economics 29 (1992): 95-124.
-
(1992)
Journal of Monetary Economics
, vol.29
, pp. 95-124
-
-
Kasa, K.1
-
34
-
-
38249001288
-
Unit Root Tests with Conditional Heteroskedasticity
-
Kim, Kiwhan, and Peter Schmidt. "Unit Root Tests with Conditional Heteroskedasticity." Journal of Econometrics 59 (1993): 287-300.
-
(1993)
Journal of Econometrics
, vol.59
, pp. 287-300
-
-
Kim, K.1
Schmidt, P.2
-
35
-
-
0001486314
-
Evolution in Dynamic Linkage across Daily National Stock Indexes
-
Koch, Paul, and Timothy Koch. "Evolution in Dynamic Linkage across Daily National Stock Indexes." Journal of International Money and Finance 10 (1991): 231-51.
-
(1991)
Journal of International Money and Finance
, vol.10
, pp. 231-251
-
-
Koch, P.1
Koch, T.2
-
36
-
-
0039411858
-
A Multicountry Characterization of the Nonstationary of Aggregate Output
-
Kormendi, Roger, and Philip Meguire. "A Multicountry Characterization of the Nonstationary of Aggregate Output." Journal of Money, Credit, and Banking 22 (1990): 77-93.
-
(1990)
Journal of Money, Credit, and Banking
, vol.22
, pp. 77-93
-
-
Kormendi, R.1
Meguire, P.2
-
37
-
-
0002484986
-
Stock Market Prices Do Not Follow a Random Walk: Evidence from a New Specification Test
-
Lo, Andrew, and A. Craig MacKinlay. "Stock Market Prices Do Not Follow a Random Walk: Evidence from a New Specification Test." Review of Financial Studies 1 (1988): 41-67.
-
(1988)
Review of Financial Studies
, vol.1
, pp. 41-67
-
-
Lo, A.1
Craig MacKinlay, A.2
-
38
-
-
45249127135
-
The Size and Power of the Variance Ratio Test in Finite Sample: A Monte Carlo Investigation
-
_. "The Size and Power of the Variance Ratio Test in Finite Sample: A Monte Carlo Investigation." Journal of Econometrics 40 (1989): 203-38.
-
(1989)
Journal of Econometrics
, vol.40
, pp. 203-238
-
-
-
39
-
-
0000631178
-
A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics: Four Cases
-
Osterwald-Lenum, Michael. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics: Four Cases." Oxford Bulletin of Economics and Statistics 54 (1992): 461-72.
-
(1992)
Oxford Bulletin of Economics and Statistics
, vol.54
, pp. 461-472
-
-
Osterwald-Lenum, M.1
-
40
-
-
84974441168
-
Testing for Unit Roots in Time Series Data
-
Pantula, Sastary. "Testing for Unit Roots in Time Series Data." Econometric Theory 5 (1989): 256-71.
-
(1989)
Econometric Theory
, vol.5
, pp. 256-271
-
-
Pantula, S.1
-
41
-
-
19044371729
-
Testing for Unit Roots in Autoregressive Moving Average Models with Unknown Order
-
Said, Said, and David Dickey. "Testing for Unit Roots in Autoregressive Moving Average Models with Unknown Order." Biometrika 71 (1984): 599-607.
-
(1984)
Biometrika
, vol.71
, pp. 599-607
-
-
Said, S.1
Dickey, D.2
-
42
-
-
84952511099
-
Tests for Unit Roots: A Monte Carlo Investigation
-
Schwert, William. "Tests for Unit Roots: A Monte Carlo Investigation." Journal of Business and Economics Statistics 7 (1989): 147-59.
-
(1989)
Journal of Business and Economics Statistics
, vol.7
, pp. 147-159
-
-
Schwert, W.1
-
43
-
-
38249014628
-
Variance Ratio Tests of Random Walk for Foreign Exchange Rates
-
Urrutia, Jorge. "Variance Ratio Tests of Random Walk for Foreign Exchange Rates." Economic Letters 38 (1992): 457-65.
-
(1992)
Economic Letters
, vol.38
, pp. 457-465
-
-
Urrutia, J.1
|