-
2
-
-
0000722585
-
Estimation for partially nonstationary multivariate autoregressive models
-
Ahn, S.K. & G.C. Reinsel (1990) Estimation for partially nonstationary multivariate autoregressive models. Journal of the American Statistical Association 85, 813-823.
-
(1990)
Journal of the American Statistical Association
, vol.85
, pp. 813-823
-
-
Ahn, S.K.1
Reinsel, G.C.2
-
3
-
-
84977703517
-
Common stochastic trends in a system of exchange rates
-
Baillie, R.T. & T. Bollerslev (1989) Common stochastic trends in a system of exchange rates. Journal of Finance 44, 167-181.
-
(1989)
Journal of Finance
, vol.44
, pp. 167-181
-
-
Baillie, R.T.1
Bollerslev, T.2
-
4
-
-
0001786423
-
Testing rational expectations and efficiency in the foreign exchange market
-
Baillie, R.T., R.E. Lippens, & P.C. McMahon (1983) Testing rational expectations and efficiency in the foreign exchange market. Econometrica 51, 553-563.
-
(1983)
Econometrica
, vol.51
, pp. 553-563
-
-
Baillie, R.T.1
Lippens, R.E.2
McMahon, P.C.3
-
5
-
-
84974489285
-
Testing the unbiased forward rate hypothesis: Evidence on unit roots, co-integration, and stochastic coefficients
-
Barnhart, S.W. & A.C. Szakmary (1991) Testing the unbiased forward rate hypothesis: Evidence on unit roots, co-integration, and stochastic coefficients. Journal of Financial and Quantitative Analysis 26, 245-267.
-
(1991)
Journal of Financial and Quantitative Analysis
, vol.26
, pp. 245-267
-
-
Barnhart, S.W.1
Szakmary, A.C.2
-
6
-
-
0002373121
-
Asymptotically efficient rank estimates in location models
-
Beran, R. (1974) Asymptotically efficient rank estimates in location models. Annals of Statistics 2, 63-74.
-
(1974)
Annals of Statistics
, vol.2
, pp. 63-74
-
-
Beran, R.1
-
7
-
-
0000947808
-
On adaptive estimation
-
Bickel, P.J. (1982) On adaptive estimation. Annals of Statistics 10, 647-671.
-
(1982)
Annals of Statistics
, vol.10
, pp. 647-671
-
-
Bickel, P.J.1
-
8
-
-
0000252138
-
A characterization of the distributions that imply mean variance utility functions
-
Chamberlain, G. (1983) A characterization of the distributions that imply mean variance utility functions. Journal of Economic Theory 29, 185-201.
-
(1983)
Journal of Economic Theory
, vol.29
, pp. 185-201
-
-
Chamberlain, G.1
-
11
-
-
0000013567
-
Co-integration and error correction: Representation, estimation, and testing
-
Engle, R.F. & 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
-
12
-
-
0001652452
-
Mandelbrot and the stable Paretian hypothesis
-
Fama, E.F. (1963) Mandelbrot and the stable Paretian hypothesis. Journal of Business 36, 420-429.
-
(1963)
Journal of Business
, vol.36
, pp. 420-429
-
-
Fama, E.F.1
-
13
-
-
0002528209
-
The behaviour of stock market prices
-
Fama, E.F. (1965) The behaviour of stock market prices. Journal of Business 38, 34-105.
-
(1965)
Journal of Business
, vol.38
, pp. 34-105
-
-
Fama, E.F.1
-
14
-
-
0000091158
-
Money, income, prices, and interest rates
-
Friedman, B.M. & K.N. Kuttner (1992) Money, income, prices, and interest rates. American Economic Review 82, 472-492.
-
(1992)
American Economic Review
, vol.82
, pp. 472-492
-
-
Friedman, B.M.1
Kuttner, K.N.2
-
15
-
-
0042987233
-
Efficiency of estimates - Part I
-
Ghosh, J.K. (1985) Efficiency of estimates - part I. Sankhyā 47A, 310-325.
-
(1985)
Sankhyā
, vol.47 A
, pp. 310-325
-
-
Ghosh, J.K.1
-
17
-
-
38249024451
-
Market efficiency and cointegration: An application to the sterling and deutschemark exchange markets
-
Hakkio, C.S. & M. Rush (1989) Market efficiency and cointegration: An application to the sterling and deutschemark 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
-
18
-
-
85045610601
-
Adaptive estimation of cointegrating regressions with ARMA errors
-
in press
-
Hodgson, D.J. (in press) Adaptive estimation of cointegrating regressions with ARMA errors. Journal of Econometrics.
-
Journal of Econometrics
-
-
Hodgson, D.J.1
-
19
-
-
0041082129
-
Adaptive estimation of cointegrated models: Simulation evidence and an application to the forward exchange market
-
University of Rochester
-
Hodgson, D.J. (1995) Adaptive Estimation of Cointegrated Models: Simulation Evidence and an Application to the Forward Exchange Market. RCER Working paper 409, University of Rochester.
-
(1995)
RCER Working Paper
, vol.409
-
-
Hodgson, D.J.1
-
20
-
-
0000616445
-
Reduced rank models for multiple series
-
Velu, R.P., G.C. Reinsel, & D.W. Wichem (1986) Reduced rank models for multiple series. Biometrika 73, 105-118.
-
(1986)
Biometrika
, vol.73
, pp. 105-118
-
-
Velu, R.P.1
Reinsel, G.C.2
Wichem, D.W.3
|