-
1
-
-
0000849513
-
The forward exchange role and the prediction of the future spot rate
-
Agmon, T., & Amihud, Y. (1981). The forward exchange role and the prediction of the future spot rate. J Banking Finance 5, 425-437.
-
(1981)
J Banking Finance
, vol.5
, pp. 425-437
-
-
Agmon, T.1
-
2
-
-
84977703517
-
Common stochastic trends in a system of exchange rates
-
March
-
Baillie, R. T., & Bollerslev, T. (1989). Common stochastic trends in a system of exchange rates. J Finance (March) 44(1), 167-181.
-
(1989)
J Finance
, vol.44
, Issue.1
, pp. 167-181
-
-
Baillie, R.T.1
Bollerslev, T.2
-
3
-
-
84974489285
-
Testing the unbiased forward rate hypothesis: Evidence on units roots, co-integration, and stochastic coefficients
-
June
-
Barnhart, S. W., & Szakmary, A. C. (1990). Testing the unbiased forward rate hypothesis: Evidence on units roots, co-integration, and stochastic coefficients. J Financ Quant Anal (June) 26(2), 245-268.
-
(1990)
J Financ Quant Anal
, vol.26
, Issue.2
, pp. 245-268
-
-
Barnhart, S.W.1
Szakmary, A.C.2
-
4
-
-
84978597924
-
Are petroleum futures prices good predictors of cash value?
-
Bopp, A. E., & Sitzer, S. (1987). Are petroleum futures prices good predictors of cash value? J Futures Mark 7(6), 705-719.
-
(1987)
J Futures Mark
, vol.7
, Issue.6
, pp. 705-719
-
-
Bopp, A.E.1
Sitzer, S.2
-
5
-
-
84978554555
-
Risk and return in copper, platinum, and silver futures
-
Chang, E. C., Chen, C., & Chen, S. -N. (1990). Risk and return in copper, platinum, and silver futures. J Futures Mark 10(1), 29-39.
-
(1990)
J Futures Mark
, vol.10
, Issue.1
, pp. 29-39
-
-
Chang, E.C.1
Chen, C.2
Chen, S.-N.3
-
6
-
-
84978556190
-
Oil prices and energy futures
-
Chen, K. C., Sears, R. S., & Tzang, D. -N. (1987). Oil prices and energy futures. J Futures Mark 7(5), 501-518.
-
(1987)
J Futures Mark
, vol.7
, Issue.5
, pp. 501-518
-
-
Chen, K.C.1
Sears, R.S.2
Tzang, D.-N.3
-
7
-
-
84978567382
-
The supply of storage in energy futures markets
-
Cho, D. W., & McDougall, G. S. (1990). The supply of storage in energy futures markets. J Futures Mark 10(6), 611-621.
-
(1990)
J Futures Mark
, vol.10
, Issue.6
, pp. 611-621
-
-
Cho, D.W.1
McDougall, G.S.2
-
8
-
-
84978571230
-
The behavior of oil futures returns around OPEC conferences
-
Deaves, R., & Krinsky, I. (1992). The behavior of oil futures returns around OPEC conferences. J Futures Mark 12(5), 563-574.
-
(1992)
J Futures Mark
, vol.12
, Issue.5
, pp. 563-574
-
-
Deaves, R.1
Krinsky, I.2
-
9
-
-
0000472488
-
Likelihood ratio statistics for autoregressive time series with a unit root
-
July
-
Dickey, D. A., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica (July) 49(4), 1057-1072.
-
(1981)
Econometrica
, vol.49
, Issue.4
, pp. 1057-1072
-
-
Dickey, D.A.1
Fuller, W.A.2
-
10
-
-
0000013567
-
Cointegration and error correction: Representation, estimation, and testing
-
March
-
Engle, R., & Granger, C. W. J. (1987). Cointegration and error correction: Representation, estimation, and testing. Econometrica (March) 55(2), 251-276.
-
(1987)
Econometrica
, vol.55
, Issue.2
, pp. 251-276
-
-
Engle, R.1
Granger, C.W.J.2
-
11
-
-
45949119851
-
Forecasting and testing in co-integrated system
-
Engle, R., & Yoo, S. (1987). Forecasting and testing in co-integrated system. J Econom 35, 143-159.
-
(1987)
J Econom
, vol.35
, pp. 143-159
-
-
Engle, R.1
Yoo, S.2
-
12
-
-
84978569610
-
An empirical test for parities between metal prices at the LME
-
Franses, P. H., & Kofman, P. (1991). An empirical test for parities between metal prices at the LME. J Futures Mark 11(6), 729-736.
-
(1991)
J Futures Mark
, vol.11
, Issue.6
, pp. 729-736
-
-
Franses, P.H.1
Kofman, P.2
-
13
-
-
0001444994
-
Flexible exchange rates, prices, and the role of "news": Lessons from the 1970s
-
Frenkel, J. (1981). Flexible exchange rates, prices, and the role of "news": Lessons from the 1970s. J Polit Econ 89(4), 665-705.
-
(1981)
J Polit Econ
, vol.89
, Issue.4
, pp. 665-705
-
-
Frenkel, J.1
-
15
-
-
84985918303
-
Hedging with international stock index futures: An intertemporal error correction model
-
Ghosh, A., & Clayton, R. (1996). Hedging with international stock index futures: An intertemporal error correction model. J Financ Res 19(4), 477-491.
-
(1996)
J Financ Res
, vol.19
, Issue.4
, pp. 477-491
-
-
Ghosh, A.1
Clayton, R.2
-
16
-
-
84981566273
-
Developments in the study of cointegrated economic variables
-
August
-
Granger, C. W. J. (1986). Developments in the study of cointegrated economic variables. Oxford Bull Econ Stat (August) 48(3), 213-228.
-
(1986)
Oxford Bull Econ Stat
, vol.48
, Issue.3
, pp. 213-228
-
-
Granger, C.W.J.1
-
17
-
-
84978555560
-
A semi-strong test of the efficiency of the aluminum and copper markets at the LME
-
Gross, M. (1988). A semi-strong test of the efficiency of the aluminum and copper markets at the LME. J Futures Mark 8(1), 67-77.
-
(1988)
J Futures Mark
, vol.8
, Issue.1
, pp. 67-77
-
-
Gross, M.1
-
18
-
-
38249024451
-
Market efficiency and cointegration: An application to the sterling and deutschmark exchange market
-
Hakkio, C. S., & Rush, M. (1989). Market efficiency and cointegration: An application to the sterling and deutschmark exchange market. J Int Money Finance 8(1), 75-88.
-
(1989)
J Int Money Finance
, vol.8
, Issue.1
, pp. 75-88
-
-
Hakkio, C.S.1
Rush, M.2
-
19
-
-
0000714094
-
Forward exchange rates as optimal predictors of future spot rates: An econometric analysis
-
October
-
Hansen, L. P., & Hodrick, R. J. (1980). Forward exchange rates as optimal predictors of future spot rates: An econometric analysis. J Polit Econ (October) 88(5), 829-853.
-
(1980)
J Polit Econ
, vol.88
, Issue.5
, pp. 829-853
-
-
Hansen, L.P.1
Hodrick, R.J.2
-
20
-
-
84978554320
-
Cold fusion-hot metal: An analysis of the metals futures market reactions to the cold fusion announcement
-
Hill, S. R., Moore, N. H., & Pruitt, S. W. (1991). Cold fusion-hot metal: An analysis of the metals futures market reactions to the cold fusion announcement. J Futures Mark 11(3), 385-397.
-
(1991)
J Futures Mark
, vol.11
, Issue.3
, pp. 385-397
-
-
Hill, S.R.1
Moore, N.H.2
Pruitt, S.W.3
-
21
-
-
0000929855
-
Special information and insider trading
-
July
-
Jaffe, J. F. (1974). Special information and insider trading. J Bus (July) 47, 410-428.
-
(1974)
J Bus
, vol.47
, pp. 410-428
-
-
Jaffe, J.F.1
-
22
-
-
0345510809
-
Statistical analysis of cointegration vectors
-
Johansen, S. (1988). Statistical analysis of cointegration vectors. J Econ Dyn Control 12, 231-254.
-
(1988)
J Econ Dyn Control
, vol.12
, pp. 231-254
-
-
Johansen, S.1
-
23
-
-
0000158117
-
Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models
-
November
-
Johansen, S. (1991). Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica (November) 59(6), 1551-1580.
-
(1991)
Econometrica
, vol.59
, Issue.6
, pp. 1551-1580
-
-
Johansen, S.1
-
24
-
-
84981579311
-
The full information maximum likelihood procedure for inference on cointegration with applications
-
May
-
Johansen, S., & Juselius, K. (1990). The full information maximum likelihood procedure for inference on cointegration with applications. Oxford Bull Econ Stat (May) 52(2), 169-210.
-
(1990)
Oxford Bull Econ Stat
, vol.52
, Issue.2
, pp. 169-210
-
-
Johansen, S.1
Juselius, K.2
-
25
-
-
0000748029
-
The forward rate: Its determination and behavior as a predictor of the spot rate
-
Kaserman, D. (1973). The forward rate: Its determination and behavior as a predictor of the spot rate. Am Stat Assoc, Bus & Econ Stat Sect Proceedings, 417-422.
-
(1973)
Am Stat Assoc, Bus & Econ Stat Sect Proceedings
, pp. 417-422
-
-
Kaserman, D.1
-
26
-
-
0001845067
-
The performance of the foreign exchange markets: 1971-1974
-
Kohlhagen, S. (1975). The performance of the foreign exchange markets: 1971-1974. J Int Bus Studies 6(2), 33-39.
-
(1975)
J Int Bus Studies
, vol.6
, Issue.2
, pp. 33-39
-
-
Kohlhagen, S.1
-
27
-
-
0000039580
-
An investigation of event study methodologies with clustered events and event day uncertainty
-
May
-
Lee, S. H., & Varela, O. (1997). An investigation of event study methodologies with clustered events and event day uncertainty. Rev Quant Finance Account (May) 8(3), 211-228.
-
(1997)
Rev Quant Finance Account
, vol.8
, Issue.3
, pp. 211-228
-
-
Lee, S.H.1
Varela, O.2
-
28
-
-
84978597093
-
The relative responsiveness to information and variability of storable commodity spot and futures prices
-
Leistikow, D. (1990). The relative responsiveness to information and variability of storable commodity spot and futures prices. J Futures Mark 10(4), 377-396.
-
(1990)
J Futures Mark
, vol.10
, Issue.4
, pp. 377-396
-
-
Leistikow, D.1
-
29
-
-
0001865668
-
Further results on the efficiency of markets for foreign exchange
-
Federal Reserve Bank of Boston Conference, Boston. Boston: Federal Reserve Bank of Boston
-
Levich, R. M. (1978). Further results on the efficiency of markets for foreign exchange. In Federal Reserve Bank of Boston Conference, Boston. Managed Exchange Rate Flexibility: The Recent Experience Vol. 20 (pp. 58-80). Boston: Federal Reserve Bank of Boston.
-
(1978)
Managed Exchange Rate Flexibility: The Recent Experience
, vol.20
, pp. 58-80
-
-
Levich, R.M.1
-
30
-
-
84979344427
-
Spreading between the gold and silver markets: Is there a parity?
-
Ma, C. K. (1985). Spreading between the gold and silver markets: Is there a parity? J Futures Mark 5(4), 579-594.
-
(1985)
J Futures Mark
, vol.5
, Issue.4
, pp. 579-594
-
-
Ma, C.K.1
-
31
-
-
84979407713
-
A further investigation of the day-of-the-week effect in the gold market
-
Ma, C. K. (1986). A further investigation of the day-of-the-week effect in the gold market. J Futures Mark 6(3), 409-419.
-
(1986)
J Futures Mark
, vol.6
, Issue.3
, pp. 409-419
-
-
Ma, C.K.1
-
32
-
-
84978549516
-
Forecasting efficiency of energy futures prices
-
Ma, C. W. (1989). Forecasting efficiency of energy futures prices. J Futures Mark 9(5), 393-419.
-
(1989)
J Futures Mark
, vol.9
, Issue.5
, pp. 393-419
-
-
Ma, C.W.1
-
33
-
-
84978598849
-
Arbitrage opportunities in metal futures markets
-
Ma, C. K., & Soenen, L. A. (1988). Arbitrage opportunities in metal futures markets. J Futures Mark 8(2), 199-209.
-
(1988)
J Futures Mark
, vol.8
, Issue.2
, pp. 199-209
-
-
Ma, C.K.1
Soenen, L.A.2
-
34
-
-
84979445844
-
The relative efficiency of the gold and treasury bill futures markets
-
Monroe, M. A., & Cohn, R. A. (1986). The relative efficiency of the gold and treasury bill futures markets. J Futures Mark 6(3), 477-493.
-
(1986)
J Futures Mark
, vol.6
, Issue.3
, pp. 477-493
-
-
Monroe, M.A.1
Cohn, R.A.2
-
35
-
-
0000128273
-
The unbiased forward rate hypothesis re-examined
-
December
-
Naka, A., & Whitney, G. (1995). The unbiased forward rate hypothesis re-examined. J Int Money Finance (December) 14, 857-867.
-
(1995)
J Int Money Finance
, vol.14
, pp. 857-867
-
-
Naka, A.1
Whitney, G.2
-
36
-
-
84978555147
-
The use of crude oil futures by the governments of oil-producing states
-
Overdahl, J. A. (1987). The use of crude oil futures by the governments of oil-producing states. J Futures Mark 7(6), 603-617.
-
(1987)
J Futures Mark
, vol.7
, Issue.6
, pp. 603-617
-
-
Overdahl, J.A.1
-
37
-
-
84978574256
-
Dependence in commodity prices
-
Peterson, R. L., Ma, C. K., & Ritchey, R. J. (1992). Dependence in commodity prices. J Futures Mark 12(4), 429-446.
-
(1992)
J Futures Mark
, vol.12
, Issue.4
, pp. 429-446
-
-
Peterson, R.L.1
Ma, C.K.2
Ritchey, R.J.3
-
38
-
-
0000880923
-
Optimal inference in cointegrated systems
-
March
-
Phillips, P. C. B. (1991). Optimal inference in cointegrated systems. Econometrica (March) 59(2), 283-306.
-
(1991)
Econometrica
, vol.59
, Issue.2
, pp. 283-306
-
-
Phillips, P.C.B.1
-
39
-
-
0000784320
-
Asymptotic properties of residual based tests for cointegration
-
January
-
Phillips, P. C. B., & Ouliaris, S. (1990). Asymptotic properties of residual based tests for cointegration. Econometrica (January) 58(1), 165-193.
-
(1990)
Econometrica
, vol.58
, Issue.1
, pp. 165-193
-
-
Phillips, P.C.B.1
Ouliaris, S.2
-
40
-
-
77956888124
-
Testing for a unit root in time series regression
-
June
-
Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika (June) 75(2), 335-346.
-
(1988)
Biometrika
, vol.75
, Issue.2
, pp. 335-346
-
-
Phillips, P.C.B.1
Perron, P.2
-
41
-
-
84984423767
-
A theoretical explanation of the empirical studies of futures markets in foreign exchange and financial instruments
-
Stein, J. L., Rzepczynski, M., & Selvaggio, R. (1983). A theoretical explanation of the empirical studies of futures markets in foreign exchange and financial instruments. Financ Rev 18, 1-32.
-
(1983)
Financ Rev
, vol.18
, pp. 1-32
-
-
Stein, J.L.1
Rzepczynski, M.2
Selvaggio, R.3
|