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Volumn 28, Issue 12, 1996, Pages 1505-1513

Bivariate cointegration among European Monetary System exchange rates

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0038801952     PISSN: 00036846     EISSN: None     Source Type: Journal    
DOI: 10.1080/000368496327499     Document Type: Article
Times cited : (11)

References (18)
  • 1
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    • Andrews, D.W.K.1    Monahan, J.C.2
  • 2
    • 84977703517 scopus 로고
    • Common stochastic trends in a system of exchange rates
    • Baillie, R. T. and Bollerslev, T. (1989) Common stochastic trends in a system of exchange rates, Journal of Finance, 44, 167-81.
    • (1989) Journal of Finance , vol.44 , pp. 167-181
    • Baillie, R.T.1    Bollerslev, T.2
  • 6
    • 84981566273 scopus 로고
    • 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, 213-28.
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    • Granger, C.W.J.1
  • 7
    • 38249024451 scopus 로고
    • Market efficiency and cointegration: An application to the Sterling and Deutschemark exchange rates
    • Hakkio, C. and Rush, M. (1989) Market efficiency and cointegration: an application to the Sterling and Deutschemark exchange rates, Journal of International Money and Finance, 9, 75-88.
    • (1989) Journal of International Money and Finance , vol.9 , pp. 75-88
    • Hakkio, C.1    Rush, M.2
  • 10
    • 84981579311 scopus 로고
    • Maximum likelihood estimation and inference on cointegration - With applications to the demand for money
    • Johansen, S. and Juselius, K. (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
  • 11
    • 38249026083 scopus 로고
    • Foreign exchange market efficiency and cointegration: Some evidence from the recent float
    • MacDonald, R. and Taylor M. P. (1989) Foreign exchange market efficiency and cointegration: some evidence from the recent float, Economic Letters, 29, 63-8.
    • (1989) Economic Letters , vol.29 , pp. 63-68
    • MacDonald, R.1    Taylor, M.P.2
  • 12
    • 0000631178 scopus 로고
    • A note with quantile of the asymptotic distribution of the maximum likelihood cointegration rank test statistics
    • Osterwald-Lenum, M. (1992) A note with quantile of the asymptotic distribution of the maximum likelihood cointegration rank test statistics. Oxford Bulletin of Economics and Statistics, 54, 461-71.
    • (1992) Oxford Bulletin of Economics and Statistics , vol.54 , pp. 461-471
    • Osterwald-Lenum, M.1
  • 13
    • 0002489138 scopus 로고
    • Canonical cointegrating regressions
    • Park, J. Y. (1990) Canonical cointegrating regressions, Econometrica, 60, 119-43.
    • (1990) Econometrica , vol.60 , pp. 119-143
    • Park, J.Y.1
  • 16
    • 0000880923 scopus 로고
    • Optimal inference in cointegrated systems
    • Phillips, P. C. B. (1991) Optimal inference in cointegrated systems, Econometrica, 59, 283-306.
    • (1991) Econometrica , vol.59 , pp. 283-306
    • Phillips, P.C.B.1
  • 17
    • 0001347325 scopus 로고
    • Tests of exchange market efficiency: Fragile evidence from cointegration tests
    • Sephton, P. S. and Larsen, H. K. (1991) Tests of exchange market efficiency: fragile evidence from cointegration tests, Journal of International Money and Finance, 10, 561-70.
    • (1991) Journal of International Money and Finance , vol.10 , pp. 561-570
    • Sephton, P.S.1    Larsen, H.K.2
  • 18
    • 0001527764 scopus 로고
    • A simple estimator of cointegrating vectors in higher order integrated systems
    • Stock, J. and Watson, M. (1993) A simple estimator of cointegrating vectors in higher order integrated systems, Econometrica, 61, 783-820.
    • (1993) Econometrica , vol.61 , pp. 783-820
    • Stock, J.1    Watson, M.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.