The unbiased forward rate hypothesis re-examined

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

1987 • 30,456 citations

Testing for a unit root in time series regression

1988 • 17,004 citations

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

1987 • 15,268 citations

Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

1981 • 14,059 citations

Estimation and Inference in Econometrics.

1994 • 5,846 citations

DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES

1986 • 2,603 citations

Estimation and Inference in Econometrics.

1994 • 2,538 citations

Forward and spot exchange rates

1984 • 2,213 citations

Asymptotic Properties of Residual Based Tests for Cointegration

1990 • 1,996 citations

Optimal Inference in Cointegrated Systems

1991 • 1,139 citations

Estimating Long-Run Economic Equilibria

1991 • 873 citations

Common Stochastic Trends in a System of Exchange Rates

1989 • 595 citations

The "Speculative Efficiency" Hypothesis

1981 • 440 citations

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

1989 • 416 citations

PAPERS AND PROCEEDINGS

1997 • 386 citations

On Unit Roots and the Empirical Modeling of Exchange Rates

1982 • 344 citations

An investigation of risk and return in forward foreign exchange

1984 • 332 citations

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

1977 • 269 citations

Common Stochastic Trends in a System of Exchange Rates

1989 • 223 citations

The Foreign Exchange Market: Theory and Econometric Evidence.

1990 • 210 citations

Testing the Unbiased Forward Rate Hypothesis: Evidence on Unit Roots, Co- Integration, and Stochastic Coefficients

1991 • 156 citations

Rationality of survey data and tests for market efficiency in the foreign exchange markets

1992 • 149 citations

On Unit Roots and the Empirical Modeling of Exchange Rates

1982 • 141 citations

Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal‐Extraction Approach

1987 • 131 citations

Exchange Rate Expectations and the Risk Premium: Tests For A Cross Section of 17 Currencies*

1993 • 90 citations

The Foreign Exchange Market: Theory and Econometric Evidence.

1990 • 84 citations

Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal- Extraction Approach

1987 • 70 citations

Recent estimates of time-variation in the conditional variance and in the exchange risk premium

1988 • 56 citations

Premia in Forward Foreign Exchange as Unobserved Components: A Note

1993 • 29 citations

Premia in Forward Foreign Exchange as Unobserved Components: A Note

1993 • 16 citations