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

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

1987 • 30,456 citations

The Pricing of Options and Corporate Liabilities

1973 • 29,036 citations

EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*

1970 • 15,798 citations

Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation

1992 • 3,196 citations

DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES

1986 • 2,603 citations

Forward and spot exchange rates

1984 • 2,213 citations

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

1980 • 2,192 citations

Cointegration and Tests of Present Value Models

1987 • 2,166 citations

An Empirical Comparison of Alternative Models of the Short‐Term Interest Rate

1992 • 1,641 citations

Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures

1993 • 1,339 citations

Bivariate garch estimation of the optimal commodity futures Hedge

1991 • 742 citations

The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets

2014 • 628 citations

Common Stochastic Trends in a System of Exchange Rates

1989 • 595 citations

Statistical Inference in Regressions with Integrated Processes: Part 2

1989 • 534 citations

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

1982 • 446 citations

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

1989 • 416 citations

A Cointegration Analysis of Treasury Bill Yields

1992 • 391 citations

Cointegration and Tests of Purchasing Power Parity

1988 • 368 citations

An investigation of risk and return in forward foreign exchange

1984 • 332 citations

The Internationalisation of Stock Markets and the Abolition of U.K. Exchange Control

1989 • 315 citations

A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets

1990 • 313 citations

Pricing foreign currency options under stochastic interest rates

1991 • 303 citations

Cointegration and market efficiency

1992 • 248 citations

The Foreign Exchange Market: Theory and Econometric Evidence.

1990 • 210 citations

The covariation of risk premiums and expected future spot exchange rates

1986 • 197 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

Forward and Futures Prices: Evidence from the Foreign Exchange Markets

1981 • 176 citations

Futures market efficiency: Evidence from cointegration tests

1991 • 175 citations

Tests of exchange market efficiency: fragile evidence from cointegration tests

1991 • 174 citations

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

1991 • 156 citations

A cointegration test for market efficiency

1991 • 153 citations

Price discovery and cointegration for live hogs

1991 • 152 citations

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

1979 • 150 citations

Econometric tests of rationality and market efficiency

1989 • 140 citations

Testing the Efficiency of the Canadian‐U.S. Exchange Market under the Assumption of no Risk Premium

1981 • 130 citations

Common nonstationary components of asset prices

1988 • 125 citations

COINTEGRATION TESTS WITH DAILY EXCHANGE RATE DATA

1991 • 123 citations

Benchmarking the Expectations Hypothesis of the Interest-Rate Term Structure: An Analysis of Cointegration Vectors

1992 • 119 citations

Cointegration: Some results on U.S. cattle prices

1991 • 110 citations

Foreign exchange market efficiency tests: Implications of recent empirical findings

1986 • 107 citations

Cointegration and stock prices

1988 • 96 citations

Floating exchange rates, expectations and new information

1983 • 95 citations

The Treasury Yield Curve as a Cointegrated System

1992 • 82 citations

METALS PRICES, EFFICIENCY AND COINTEGRATION: SOME EVIDENCE FROM THE LONDON METAL EXCHANGE

1988 • 74 citations

Testing the unbiasedness hypothesis in the forward foreign exchange market: A specification analysis

1984 • 64 citations

On the Intertemporal Behavior of the Short-Term Rate of Interest

1988 • 52 citations

Rational Expectations and Risk Premia in Forward Markets: Primary Metals at the London Metals Exchange

1982 • 50 citations

The ‘Efficiency’ of the London metal exchange

1986 • 33 citations

Examining the validity of a test of futures market efficiency: A comment

1990 • 33 citations

ON THE CAUSES OF HYSTERESIS IN LONG‐TERM UNEMPLOYMENT IN THE NETHERLANDS

1991 • 28 citations

On the informational role of treasury bill futures

1986 • 19 citations

Estimation of Common Long-Memory Components in Cointegrated Systems

2008 • 15 citations

Further evidence of forward exchange market efficiency: an application of cointegration using German and UK data

1990 • 7 citations

Risk premiums in asset prices and returns

1989 • 6 citations

Exogeneity and the Forward Rate Efficiency Hypothesis

1993 • 1 citations