Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets

Journal of Financial and Quantitative Analysis

Volumn 30, Issue 1, 1995, Pages 23-42

  Brenner, Robin J ^a   Kroner, Kenneth F ^b  

^a Merrill Lynch   (United States)

^b UNIVERSITY OF ARIZONA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84974489320     PISSN: 00221090     EISSN: 17566916     Source Type: Journal    
DOI: 10.2307/2331251     Document Type: Article

References (6)

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3. Backus, D. K., and A. W. Gregory. “Risk Premiums in Asset Prices and Returns: A Comment on R. T. Baillie.” Econometric Reviews, 8 (1989), 187–195.
4. Baillie, R. T. “Econometric Tests of Rationality and Market Efficiency.” Econometric Reviews, 8 121–156.
5. Baillie, R. T., and T. Bollerslev. “Common Stochastic Trends in a System of Exchange Rates.” Journal of Finance, 44 (1989), 137–151.
6. Taylor, M. P., and I. Tonks. “The Internationalisation of Stock Markets and the Abolition of U.K. Exchange Control.” Review of Economics and Statistics, 71 (1989), 332–336.