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Cointegration and predictability of asset prices1

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  • Caporale, G. M.
  • Pittis, N.

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Bibliographic Info

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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Cited by:
  1. Caporale, Guglielmo Maria & Gil-Alaña, Luis A., 2000. "Fractional cointegration and tests of present value models," SFB 373 Discussion Papers 2000,15, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  2. 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.
  3. Jose Fernandez-Serrano & Simon Sosvilla-Rivero, 2003. "Modelling the linkages between US and Latin American stock markets," Applied Economics, Taylor & Francis Journals, vol. 35(12), pages 1423-1434.
  4. Focker, Fulvia & Triacca, Umberto, 2006. "Interpreting the concept of joint unpredictability of asset returns: A distance approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 369(2), pages 765-770.
  5. 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.
  6. Sergio Da Silva & Roberto Meurer & Caio Guttler, 2008. "Is the Brazilian stockmarket efficient?," Economics Bulletin, AccessEcon, vol. 7(1), pages 1-16.
  7. José L. Fernández-Serrano & Simón Sosvilla-Rivero, . "Modelling the linkages between US and Latin American stock markets," Working Papers 2002-14, FEDEA.
  8. Guttler, Caio & Meurer, Roberto & Da Silva, Sergio, 2006. "Informational inefficiency of the Brazilian stockmarket," MPRA Paper 1980, University Library of Munich, Germany.
  9. 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.
  10. repec:ebl:ecbull:v:7:y:2008:i:1:p:1-16 is not listed on IDEAS
  11. Fernandez-Serrano, Jose L. & Sosvilla-Rivero, Simon, 2001. "Modelling evolving long-run relationships: the linkages between stock markets in Asia," Japan and the World Economy, Elsevier, vol. 13(2), pages 145-160, April.
  12. Jeon, Bang Nam & Seo, Byeongseon, 2003. "The impact of the Asian financial crisis on foreign exchange market efficiency: The case of East Asian countries," Pacific-Basin Finance Journal, Elsevier, vol. 11(4), pages 509-525, September.
  13. Umberto Triacca, 2013. "The Geometric Meaning of the Notion of Joint Unpredictability of a Bivariate VAR(1) Stochastic Process," Econometrics, MDPI, Open Access Journal, vol. 1(3), pages 207-216, November.
  14. Kühl, Michael, 2010. "Bivariate cointegration of major exchange rates, cross-market efficiency and the introduction of the Euro," Journal of Economics and Business, Elsevier, vol. 62(1), pages 1-19, January.
  15. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2002. "Fractional integration and mean reversion in stock prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(3), pages 599-609.

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