Investment strategy evaluation with cointegration

Applied Economics Letters

Volumn 6, Issue 3, 1999, Pages 177-

  Markellos, Raphael N ^a  

^a LOUGHBOROUGH UNIVERSITY   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

COINTEGRATION ANALYSIS; INVESTMENT; METHODOLOGY;

EID: 0039130815     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/135048599353582     Document Type: Article

References (8)

1. Brock, W., Lakonishok, J. and LeBaron, B. (1992) Simple technical trading rules and the stochastic properties of stock returns, Journal of Finance, 47, 1731-64.
2. Markellos, R.N. (1997a) Forecasting and trading the FTA with EXPO™: 'confidence' and nonlinear equilibrium dynamics, Proceedings of 4th International Conference on Forecasting Financial Markets.
3. Markellos, R.N. (1997b) Nonlinear equilibrium dynamics, Working Paper 6/97, Department of Economics, Loughborough University.
4. Markellos, R.N. and Mills, T.C. (1997) Forecasting, Statistical Inference and Trading with EXPO/Econometric ™, LMT Inc, Cambridge MA.
5. Markellos, R.N. and Siriopoulos, C. (1997) Diversification benefits in the smaller European stock markets, International Advances in Economic Research, 3(3), 142-53.
6. Mills, T.C. (1993) The Econometric Modelling of Financial Time Series, Cambridge University Press, Cambridge.
7. Mills, T.C. (1996) The econometrics of the 'market model': cointegration, error correction and exogeneity, International Journal of Finance and Economics, 1(4), 257-86.
8. Mills, T.C. (1997) Technical analysis and the London Stock Exchange: testing trading rules using the FT30, International Journal of Finance and Economics, 2 (forthcoming).