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Cointegration and predictability of asset prices1

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Author Info
Caporale, G. M.
Pittis, N.

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Abstract

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File URL: http://www.sciencedirect.com/science/article/B6V9S-3V5WNPP-T/2/51ae18aeb2449e241276d5836e01aadc
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Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 17 (1998)
Issue (Month): 3 (June)
Pages: 441-453
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Handle: RePEc:eee:jimfin:v:17:y:1998:i:3:p:441-453

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

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  1. Christian Jochum & Gebhard Kirchgässner & Mariusz Platek, 1999. "A long-run relationship between Eastern European stock markets? Cointegration and the 1997/98 crisis in emerging markets," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 135(3), pages 454-479, September. [Downloadable!] (restricted)
  2. Caio Guttler & Roberto Meurer & Sergio Da Silva, 2008. "Is the Brazilian stockmarket efficient?," Economics Bulletin, Economics Bulletin, vol. 7(1), pages 1-16. [Downloadable!]
  3. José L. Fernández-Serrano & Simón Sosvilla-Rivero, . "Modelling evolving long-run relationships: the linkages between stock markets in asia," Working Papers 2000-11, FEDEA. [Downloadable!]
    Other versions:
  4. Heejoon Kang, 1999. "The Applied Cointegration Analysis for the Open Economy: A Critical Review," Open Economies Review, Springer, vol. 10(3), pages 325-346, July. [Downloadable!] (restricted)
  5. José L. Fernández-Serrano & Simón Sosvilla-Rivero, . "Modelling the linkages between US and Latin American stock markets," Working Papers 2002-14, FEDEA. [Downloadable!]
    Other versions:
  6. Guttler, Caio & Meurer, Roberto & Da Silva, Sergio, 2006. "Informational inefficiency of the Brazilian stockmarket," MPRA Paper 1980, University Library of Munich, Germany. [Downloadable!]
  7. Kim, Jeong-Ryeol, 2002. "The stable long-run CAPM and the cross-section of expected returns," Discussion Paper Series 1: Economic Studies 2002,05, Deutsche Bundesbank, Research Centre. [Downloadable!]
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