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Testing efficient market hypothesis for the dollar-sterling gold standard exchange rate 1890-1906: MLE with double truncation

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  • Goldman, Elena

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  • Goldman, Elena, 2000. "Testing efficient market hypothesis for the dollar-sterling gold standard exchange rate 1890-1906: MLE with double truncation," Economics Letters, Elsevier, vol. 69(3), pages 253-259, December.
    • Handle: RePEc:eee:ecolet:v:69:y:2000:i:3:p:253-259
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    References listed on IDEAS

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    1. Maurice Obstfeld & Alan M. Taylor, 1998. "The Great Depression as a Watershed: International Capital Mobility over the Long Run," NBER Chapters, in: The Defining Moment: The Great Depression and the American Economy in the Twentieth Century, pages 353-402, National Bureau of Economic Research, Inc.
    2. Gauri Prakash & Alan M. Taylor, 1997. "Measuring Market Integration: A Model of Arbitrage with an Econometric Application to the Gold Standard, 1879-1913," NBER Working Papers 6073, National Bureau of Economic Research, Inc.
    3. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
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    Cited by:

    1. Flandreau, Marc & Komlos, John, 2006. "Target zones in theory and history: Credibility, efficiency, and policy autonomy," Journal of Monetary Economics, Elsevier, vol. 53(8), pages 1979-1995, November.
    2. repec:spo:wpecon:info:hdl:2441/602 is not listed on IDEAS
    3. Goldman Elena & Tsurumi Hiroki, 2005. "Bayesian Analysis of a Doubly Truncated ARMA-GARCH Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(2), pages 1-38, June.
    4. repec:spo:wpecon:info:hdl:2441/325 is not listed on IDEAS
    5. repec:hal:spmain:info:hdl:2441/602 is not listed on IDEAS
    6. Wang, Yu Shan & Chueh, Yen Ling, 2013. "Dynamic transmission effects between the interest rate, the US dollar, and gold and crude oil prices," Economic Modelling, Elsevier, vol. 30(C), pages 792-798.
    7. Flandreau, Marc & Komlos, John, 2003. "Target Zones in History and Theory: Lessons from an Austro-Hungarian Experiment (1896-1914)," Discussion Papers in Economics 75, University of Munich, Department of Economics.
    8. Gallais-Hamonno, Georges & Hoang, Thi-Hong-Van & Oosterlinck, Kim, 2015. "Informational efficiency of the clandestine and official gold markets in Paris," Economics Letters, Elsevier, vol. 126(C), pages 28-30.
    9. Marc Flandreau & John Komlos, 2005. "Target zones in History and Theory : efficiency, credibility and policy autonomy," Sciences Po publications n°5199, Sciences Po.
    10. Tanin, Tauhidul Islam & Sarker, Ashutosh & Brooks, Robert, 2021. "Do currency exchange rates impact gold prices? New evidence from the ongoing COVID-19 period," International Review of Financial Analysis, Elsevier, vol. 77(C).
    11. repec:hal:wpspec:info:hdl:2441/602 is not listed on IDEAS
    12. repec:hal:spmain:info:hdl:2441/325 is not listed on IDEAS
    13. repec:hal:wpspec:info:hdl:2441/325 is not listed on IDEAS

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