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A comparison of Johansen and Phillips-Hansen cointegration tests of forward market efficiency Baillie and Bollerslev revisited

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Author Info
Moore, Michael J.
Copeland, Laurence S.

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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 47 (1995)
Issue (Month): 2 (February)
Pages: 131-135
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Handle: RePEc:eee:ecolet:v:47:y:1995:i:2:p:131-135

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  1. Angelos Kanas & George Kouretas, 2001. "A cointegration approach to the lead-lag effect among size-sorted equity portfolios," Working Papers 0101, University of Crete, Department of Economics. [Downloadable!]
    Other versions:
  2. Hasan Bakhshi & Anthony Yates, . "Are UK inflation expectations rational?," Bank of England working papers 81, Bank of England. [Downloadable!]
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