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Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920s

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Author Info
Phillips, Peter C B
McFarland, James W
McMahon, Patrick C

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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 11 (1996)
Issue (Month): 1 (Jan.-Feb.)
Pages: 1-22
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Handle: RePEc:jae:japmet:v:11:y:1996:i:1:p:1-22

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Levine, Ross, 1989. "The pricing of forward exchange rates," Journal of International Money and Finance, Elsevier, vol. 8(2), pages 163-179, June. [Downloadable!] (restricted)
    Other versions:
  2. Park, Joon Y, 1992. "Canonical Cointegrating Regressions," Econometrica, Econometric Society, vol. 60(1), pages 119-43, January. [Downloadable!] (restricted)
  3. Phillip Kearns & Adrian Pagan, 1997. "Estimating The Density Tail Index For Financial Time Series," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 171-175, May. [Downloadable!] (restricted)
  4. repec:cup:etheor:v:7:y:1991:i:4:p:450-63 is not listed on IDEAS
  5. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-58, May. [Downloadable!] (restricted)
    Other versions:
  6. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March. [Downloadable!] (restricted)
  7. Peter C.B. Phillips & Werner Ploberger, 1992. "Time Series Modeling with a Bayesian Frame of Reference: Concepts, Illustrations and Asymptotics," Cowles Foundation Discussion Papers 1038, Cowles Foundation, Yale University. [Downloadable!]
  8. Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-93, January. [Downloadable!] (restricted)
    Other versions:
  9. Hsieh, David A, 1989. "Modeling Heteroscedasticity in Daily Foreign-Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(3), pages 307-17, July.
  10. Hansen, Lars Peter & Hodrick, Robert J, 1980. "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis," Journal of Political Economy, University of Chicago Press, vol. 88(5), pages 829-53, October. [Downloadable!] (restricted)
  11. Baillie, Richard T & Bollerslev, Tim, 1989. " Common Stochastic Trends in a System of Exchange Rates," Journal of Finance, American Finance Association, vol. 44(1), pages 167-81, March. [Downloadable!] (restricted)
  12. Peter C.B. Phillips, 1993. "Robust Nonstationary Regression," Cowles Foundation Discussion Papers 1064, Cowles Foundation, Yale University. [Downloadable!]
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  13. Hakkio, Craig S. & Rush, Mark, 1989. "Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets," Journal of International Money and Finance, Elsevier, vol. 8(1), pages 75-88, March. [Downloadable!] (restricted)
  14. Jansen, Dennis W & de Vries, Casper G, 1991. "On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective," The Review of Economics and Statistics, MIT Press, vol. 73(1), pages 18-24, February. [Downloadable!] (restricted)
    Other versions:
  15. Peter C.B. Phillips, 1995. "Unit Root Tests," Cowles Foundation Discussion Papers 1104, Cowles Foundation, Yale University. [Downloadable!]
  16. Peter C.B. Phillips, 1993. "Fully Modified Least Squares and Vector Autoregression," Cowles Foundation Discussion Papers 1047, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
  17. repec:cup:etheor:v:7:y:1991:i:2:p:200-212 is not listed on IDEAS
  18. Koedijk, Kees G & Kool, Clemens J M, 1992. "Tail Estimates of East European Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(1), pages 83-96, January.
  19. Corbae, Dean & Lim, Kian-Guan & Ouliaris, Sam, 1992. "On Cointegration and Tests of Forward Market Unbiasedness," The Review of Economics and Statistics, MIT Press, vol. 74(4), pages 728-32, November. [Downloadable!] (restricted)
  20. Peter C.B. Phillips & Bruce E. Hansen, 1988. "Statistical Inference in Instrumental Variables," Cowles Foundation Discussion Papers 869R, Cowles Foundation, Yale University, revised Apr 1989. [Downloadable!]
  21. Peter C.B. Phillips & Werner Ploberger, 1992. "Posterior Odds Testing for a Unit Root with Data-Based Model Selection," Cowles Foundation Discussion Papers 1017, Cowles Foundation, Yale University. [Downloadable!]
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  22. Phillips, P.C.B., 1991. "A Shortcut to LAD Estimator Asymptotics," Econometric Theory, Cambridge University Press, vol. 7(04), pages 450-463, December. [Downloadable!]
    Other versions:
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