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Maximum likelihood estimation of cointegration in exchange rate models for seven inflationary OECD countries

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Author Info
Cushman, David O.
Sang Sub Lee
Thorgeirsson, Thorsteinn

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File URL: http://www.sciencedirect.com/science/article/B6V9S-3VW1S3W-1/2/dca1991fac55a7a0b4286e90ae4b6952
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Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 15 (1996)
Issue (Month): 3 (June)
Pages: 337-368
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Handle: RePEc:eee:jimfin:v:15:y:1996:i:3:p:337-368

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Web page: http://www.elsevier.com/locate/inca/30443

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  2. Naka, Atsuyuki & Mukherjee, Tarun K. & Tufte, David R., 1998. "Macroeconomic variables and the performance of the Indian Stock Market," Working Papers 1998-06, University of New Orleans, Department of Economics and Finance. [Downloadable!]
  3. David O. Cushman, 2003. "Further evidence on the size and power of the Bierens and Johansen cointegration procedures," Economics Bulletin, Economics Bulletin, vol. 3(25), pages 1-7. [Downloadable!]
  4. Robert A. Amano & Simon van Norden, 1995. "Exchange Rates and Oil Prices," International Finance 9509001, EconWPA. [Downloadable!]
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  5. Adam, Anokye M. & Tweneboah , George, 2008. "Do macroeconomic variables play any role in the stock market movement in Ghana?," MPRA Paper 9357, University Library of Munich, Germany, revised 2008. [Downloadable!]
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  7. Michael D. Goldberg & Roman Frydman, 2001. "Macroeconomic Fundamentals and the DM/$ Exchange Rate: Temporal Instability and the Monetary Model," Working Papers 50, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
  8. Heung Wong & W. Li & Shiqing Ling, 2005. "Joint modeling of cointegration and conditional heteroscedasticity with applications," Annals of the Institute of Statistical Mathematics, Springer, vol. 57(1), pages 83-103, March. [Downloadable!] (restricted)
  9. Heejoon Kang, 2006. "Inappropriate Detrending and Spurious Cointegration," Working Papers 2006-14, Indiana University, Kelley School of Business, Department of Business Economics and Public Policy. [Downloadable!]
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  10. Pene Kalulumia, 2000. "Government Debt, Interest Rates And International Capital Flows: Evidence From Cointegration," Cahiers de recherche 00-03, Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke. [Downloadable!]
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