Foreign exchange market efficiency and cointegration

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

Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

1981 • 14,059 citations

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

1979 • 8,550 citations

Introduction to Statistical Time Series

1978 • 4,545 citations

DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES

1986 • 2,603 citations

Introduction to Statistical Time Series.

1977 • 2,373 citations

Forward and spot exchange rates

1984 • 2,213 citations

Foundations of Finance.

1977 • 1,197 citations

Covered Interest Arbitrage: Unexploited Profits?

1975 • 435 citations

A Note on Exchange‐Rate Expectations and Nominal Interest Differentials: A Test of the Fisher Hypothesis

1981 • 186 citations

Covered Interest Parity: A High-Frequency, High-Quality Data Study

1987 • 184 citations

Analysis of Short-Run Exchange Rate Behavior March, 1973 to September, 1975

1976 • 89 citations

A Note on Exchange-Rate Expectations and Nominal Interest Differentials: A Test of the Fisher Hypothesis

1981 • 83 citations

On the specification of granger-causality tests using the cointegration methodology

1987 • 65 citations

Exchange rates and open economy macroeconomics

1990 • 38 citations

Some survey based tests of uncovered interest parity

1989 • 23 citations

Decision rules, expectations and efficiency in two foreign exchange markets

1986 • 9 citations