The Term Structure of Forward Exchange Premiums and the Forecastability of Spot Exchange Rates: Correcting the Errors

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

1987 • 30,456 citations

Journal of economic literature

1996 • 10,163 citations

The American Economic Review

2011 • 5,693 citations

Empirical exchange rate models of the seventies

1983 • 4,141 citations

Journal of the American Statistical Association

1989 • 3,796 citations

The Theory of Interest

2013 • 2,919 citations

A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics¹

1992 • 2,686 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

Testing for Common Trends

1988 • 1,998 citations

Optimal Inference in Cointegrated Systems

1991 • 1,139 citations

The use of technical analysis in the foreign exchange market

1992 • 1,100 citations

Anomalies: Foreign Exchange

1990 • 955 citations

Forward Discount Bias: Is it an Exchange Risk Premium?

1989 • 756 citations

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

1979 • 494 citations

The Multivariate Portmanteau Statistic

1980 • 473 citations

A reconsideration of the uncovered interest parity relationship

1994 • 458 citations

The "Speculative Efficiency" Hypothesis

1981 • 440 citations

International Interest-Rate and Price-Level Linkages Under Flexible Exchange Rates: A Review of Recent Evidence

1982 • 379 citations

A Cointegration Analysis of Treasury Bill Yields

2008 • 356 citations

The ‘peso problem’ in testing the efficiency of forward exchange markets

1980 • 315 citations

On biases in the measurement of foreign exchange risk premiums

1993 • 284 citations

The Foreign Exchange Market: A Random Walk with a Dragging Anchor

1988 • 272 citations

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

1989 • 260 citations

Covered Interest Arbitrage and Market Turbulence

1989 • 229 citations

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

1987 • 184 citations

Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation

1992 • 169 citations

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

1981 • 130 citations

The Multivariate Portmanteau Statistic

1980 • 102 citations

The term structure of euromarket interest rates

1987 • 99 citations

The Time Variation of Expected Returns and Volatility in Foreign-Exchange Markets

1995 • 82 citations

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

1981 • 64 citations

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

1984 • 64 citations

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

1984 • 47 citations

The Time Variation of Expected Returns and Volatility in Foreign-Exchange Markets

1995 • 22 citations