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

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

DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES

1986 • 2,603 citations

Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis

1980 • 2,192 citations

Econometric Modelling of the Aggregate Time-Series Relationship Between Consumers' Expenditure and Income in the United Kingdom

1978 • 1,632 citations

The Message in Daily Exchange Rates

2002 • 828 citations

A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence

1976 • 810 citations

Econometric Analysis for National Economic Planning

1971 • 617 citations

Empirical regularities in the behavior of exchange rates and theories of the foreign exchange market

1979 • 494 citations

The "Speculative Efficiency" Hypothesis

1981 • 440 citations

On Unit Roots and the Empirical Modeling of Exchange Rates

1982 • 344 citations

Asymptotic Normality, When Regressors Have a Unit Root

1988 • 342 citations

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

1989 • 310 citations

Studies in Econometrics, Time Series, and Multivariate Statistics

1983 • 307 citations

THE FORWARD EXCHANGE RATE, EXPECTATIONS, AND DEMAND FOR MONEY: THE GERMAN HYPERINFLATION

1977 • 269 citations

Error Correction Mechanisms

1982 • 237 citations

Testing Rational Expectations and Efficiency in the Foreign Exchange Market

1983 • 187 citations

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

1981 • 186 citations

Are foreign exchange forecasts rational?

1986 • 184 citations

Does the exchange rate follow a random walk? A Monte Carlo study of four tests for a random walk

1986 • 156 citations

Some Joint Tests of the Efficiency of Markets for Forward Foreign Exchange

1979 • 150 citations

On Unit Roots and the Empirical Modeling of Exchange Rates

1982 • 141 citations

Some Long Run Features of Dynamic Time Series Models

1981 • 113 citations

Integrated regressors and tests of the permanent-income hypothesis

1988 • 96 citations

Expectations and the Forward Exchange Rate

1981 • 88 citations

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

1981 • 83 citations

Further evidence on expectations and the demand for money during the German hyperinflation

1979 • 60 citations

Some alternative tests of forward exchange rates as predictors of future spot rates

1984 • 47 citations