COINTEGRATION TESTS WITH DAILY EXCHANGE RATE DATA

Co-Integration and Error Correction: Representation, Estimation, and Testing

1987 • 30,456 citations

Distribution of the Estimators for Autoregressive Time Series with a Unit Root

1979 • 20,919 citations

Statistical analysis of cointegration vectors

1988 • 16,501 citations

DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES

1986 • 2,603 citations

Some properties of time series data and their use in econometric model specification

1981 • 2,283 citations

Forward and spot exchange rates

1984 • 2,213 citations

Forecasting and testing in co-integrated systems

1987 • 1,885 citations

Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors

1987 • 1,505 citations

The Message in Daily Exchange Rates

2002 • 828 citations

ECONOMETRIC MODELLING WITH COINTEGRATED VARIABLES: AN OVERVIEW

1986 • 640 citations

Common Stochastic Trends in a System of Exchange Rates

1989 • 595 citations

Conditional variance and the risk premium in the foreign exchange market

1985 • 512 citations

Flexible Exchange Rates, Prices, and the Role of "News": Lessons from the 1970s

1981 • 488 citations

Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets

1989 • 416 citations

Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations

1986 • 389 citations

An investigation of risk and return in forward foreign exchange

1984 • 332 citations

The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement

1982 • 300 citations

The Message in Daily Exchange Rates: A Conditional-Variance Tale

1989 • 290 citations

Testing Rational Expectations and Efficiency in the Foreign Exchange Market

1983 • 187 citations

PRACTITIONERS CORNER: Maximum Likelihood Estimation of Cointegration Vectors: An Example of The Johansen Procedure^‡

1989 • 123 citations

Foreign exchange market efficiency and cointegration

1989 • 117 citations

Chapter 19 Empirical studies of exchange rates: Price behavior, rate determination and market efficiency

1985 • 115 citations

Floating exchange rates, expectations and new information

1983 • 95 citations

Exchange Rates and International Finance

2023 • 84 citations

Stochastic prices and tests of efficiency of foreign exchange markets

1980 • 83 citations

International Financial Markets.

1987 • 33 citations

Foreign exchange markets

2001 • 18 citations

On the informational content of spot and forward exchange rates

1988 • 14 citations