A cointegration test for market efficiency

Estimating the Dimension of a Model

1978 • 43,634 citations

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

Testing for a unit root in time series regression

1988 • 17,004 citations

Statistical analysis of cointegration vectors

1988 • 16,501 citations

MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY

1990 • 14,144 citations

Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

1991 • 11,052 citations

An Introduction to Multivariate Statistical Analysis

1986 • 9,529 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

An Introduction to Multivariate Statistical Analysis.

1985 • 3,247 citations

Time Series Regression with a Unit Root

1987 • 2,905 citations

Introduction to Statistical Time Series.

1977 • 2,373 citations

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

1980 • 2,192 citations

Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors

1987 • 1,505 citations

COINTEGRATION AND ERROR CORRECTION: REPRESENTATION

1987 • 1,375 citations

The relation between forward prices and futures prices

1981 • 770 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

On Unit Roots and the Empirical Modeling of Exchange Rates

1982 • 344 citations

The Opportunistic Approach to Disinflation

2002 • 290 citations

Changing Beliefs and Systematic Rational Forecast Errors with Evidence from Foreign Exchange

1989 • 260 citations

Forward contracts and futures contracts

1981 • 242 citations

Forward and Futures Prices: Evidence from the Foreign Exchange Markets

1981 • 176 citations

The Price‐Forecasting Performance of Futures Markets for Live Cattle and Hogs: A Disaggregated Analysis

1981 • 99 citations

Examining the validity of a test of futures market efficiency

1988 • 76 citations

Robust tests for unit roots in the foreign exchange market

1986 • 56 citations

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

1990 • 33 citations