Cointegration and forward and spot exchange rate regressions

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

1987 • 30,456 citations

Testing the null hypothesis of stationarity against the alternative of a unit root

1992 • 11,969 citations

Time Series Analysis.

1995 • 11,935 citations

Spurious regressions in econometrics

1974 • 6,029 citations

Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

1995 • 4,676 citations

A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems

1993 • 4,547 citations

Statistical Inference in Instrumental Variables Regression with I(1) Processes

1990 • 4,269 citations

Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

1995 • 3,739 citations

Forward and spot exchange rates

1984 • 2,213 citations

THE POWER OF COINTEGRATION TESTS

1992 • 1,322 citations

The forward discount anomaly and the risk premium: A survey of recent evidence

1996 • 1,172 citations

Optimal Inference in Cointegrated Systems

1991 • 1,139 citations

Canonical Cointegrating Regressions

1992 • 1,081 citations

Cointegration in partial systems and the efficiency of single-equation analysis

1992 • 998 citations

Estimating Long-Run Economic Equilibria

1991 • 873 citations

Forward Discount Bias: Is it an Exchange Risk Premium?

1989 • 756 citations

Common Stochastic Trends in a System of Exchange Rates

1989 • 595 citations

The "Speculative Efficiency" Hypothesis

1981 • 440 citations

Real and nominal exchange rates in the long run: An empirical investigation

1990 • 427 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

Long-run PPP may not hold after all

2000 • 329 citations

On biases in the measurement of foreign exchange risk premiums

1993 • 284 citations

Common Stochastic Trends in a System of Exchange Rates

1989 • 223 citations

The long memory of the forward premium

1994 • 214 citations

Do Long-Term Swings in the Dollar Affect Estimates of the Risk Premia?

1995 • 206 citations

Spot rates, forward rates and exchange market efficiency

1977 • 205 citations

On Cointegration and Exchange Rate Dynamics

1994 • 203 citations

Testing for Cointegration When Some of the Cointegrating Vectors are Prespecified

1995 • 201 citations

Rethinking Deviations From Uncovered Interest Parity: the Role of Covariance Risk and Noise

1998 • 173 citations

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

1997 • 169 citations

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

1991 • 156 citations

Understanding spot and forward exchange rate regressions

1997 • 153 citations

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

1992 • 149 citations

Foreign exchange market efficiency and common stochastic trends

1994 • 143 citations

On Unit Roots and the Empirical Modeling of Exchange Rates

1982 • 141 citations

Econometric tests of rationality and market efficiency

1989 • 140 citations

International economic policy: Theory and evidence

1980 • 134 citations

Nonlinear Time Series Analysis of Economic and Financial Data

1999 • 129 citations

On Cointegration and Exchange Rate Dynamics

1994 • 103 citations

The effect of political risk on the forward exchange bias: the case of elections

1992 • 79 citations

THE POWER OF SINGLE EQUATION TESTS FOR COINTEGRATION WHEN THE COINTEGRATING VECTOR IS PRESPECIFIED

2000 • 62 citations

Long-Run PPP May Not Hold After All

1999 • 58 citations

Common stochastic trends between forward and spot exchange rates

1998 • 46 citations

The unbiased forward rate hypothesis re-examined

1995 • 46 citations

On Cointegration and Tests of Forward Market Unbiasedness

1992 • 42 citations

Two puzzles in the analysis of foreign exchange market efficiency

1998 • 42 citations

Exogeneity in Error Correction Models

1993 • 38 citations

Exogeneity and forward rate unbiasedness

1996 • 33 citations

Trends in excess returns in currency and bond markets

1993 • 33 citations

Empirical Assessment of Foreign Currency Risk Premiums

1989 • 27 citations

Unit-Root Tests and Excess Returns

1999 • 4 citations

A Re-examination of the Fragility of Evidence from Cointegration- Based Tests of Foreign Exchange Market Efficiency

1996 • 2 citations