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Econometric tests of rationality and market efficiency

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M. R. Wickens

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File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/07474938908800169&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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Article provided by Taylor and Francis Journals in its journal Econometric Reviews.

Volume (Year): 8 (1989)
Issue (Month): 2 ()
Pages: 207-212
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Handle: RePEc:taf:emetrv:v:8:y:1989:i:2:p:207-212

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  1. Soren Johansen & Anders Rygh Swensen, 2007. "Exact Rational Expectations, Cointegration, and Reduced Rank Regression," Discussion Papers 07-29, University of Copenhagen. Department of Economics. [Downloadable!]
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  2. Blix, Mårten, 1997. "Rational Expectations in a VAR with Markov Switching," Seminar Papers 627, Stockholm University, Institute for International Economic Studies. [Downloadable!]
  3. Bill Cai & Charlie Cai & Kevin Keasey, 2005. "Market Efficiency and Returns to Simple Technical Trading Rules: Further Evidence from U.S., U.K., Asian and Chinese Stock Markets," Asia-Pacific Financial Markets, Springer, vol. 12(1), pages 45-60, March. [Downloadable!] (restricted)
  4. Richard T. Baillie & William P. Osterberg, 1991. "The risk premium in forward foreign exchange markets and G-3 central bank intervention: evidence of daily effects, 1985-1990," Working Paper 9109, Federal Reserve Bank of Cleveland. [Downloadable!]
  5. Stephen Hall & Anna Zelweska-Mitura, . "Modelling Emerging Financial Markets and their Approach to Market Efficiency," Computing in Economics and Finance 1996 _066, Society for Computational Economics. [Downloadable!]
  6. repec:ese:iserwp: is not listed on IDEAS
  7. Tim Bollerslev & Robert J. Hodrick, 1992. "Financial Market Efficiency Tests," NBER Working Papers 4108, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  8. Luca Fanelli, 2006. "Testing the New Keynesian Phillips Curve through Vector Autoregressive models: Results from the Euro area," Quaderni di Dipartimento 0, Department of Statistics, University of Bologna.
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  9. Luca Fanelli, . "Estimating Multi-Equational LQAC Models with I(1) Variables: a VAR Approach," Economics Working Papers 1997-7, School of Economics and Management, University of Aarhus. [Downloadable!]
  10. Pinar Ozlu, 2006. "Risk Premium and Central Bank Intervention," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 6(1), pages 65-79. [Downloadable!]
  11. Eric Zivot, 1998. "Cointegration and Forward and Spot Exchange Rate Regressions," Econometrics 9812001, EconWPA. [Downloadable!]
  12. Pål Boug, Ådne Cappelen and Anders Rygh Swensen, 2007. "The New Keynesian Phillips Curve revisited," Discussion Papers 500, Research Department of Statistics Norway. [Downloadable!]
  13. Rebecca Emerson & Stephen Hall & Anna Zalewska-Mitura, 1997. "Evolving Market Efficiency with an Application to Some Bulgarian Shares," Economic Change and Restructuring, Springer, vol. 30(2), pages 75-90, May. [Downloadable!] (restricted)
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  14. Fanelli, Luca, 2007. "Evaluating the New Keynesian Phillips Curve under VAR-based learning," MPRA Paper 1616, University Library of Munich, Germany. [Downloadable!]
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  15. Bredin, Don & Cuthbertson, Keith, 2000. "Risk Premia and Long Rates in Ireland," Research Technical Papers 2/RT/00, Central Bank & Financial Services Authority of Ireland (CBFSAI). [Downloadable!]
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  16. Joachim Zietz & Ghassem Homaifar, 1994. "Exchange rate uncertainty and the efficiency of the forward market for foreign exchange," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 130(3), pages 461-475, September. [Downloadable!] (restricted)
  17. Dimitris Kenourgios, 2005. "Testing Efficiency And The Unbiasedness Hypothesis Of The Emerging Greek Futures Market," Finance 0512015, EconWPA. [Downloadable!]
  18. Søren Johansen and Anders Rygh Swensen, 2003. "More on Testing Exact Rational Expectations in Cointegrated Vector Autoregressive Models: Restricted Drift Terms," Discussion Papers 348, Research Department of Statistics Norway. [Downloadable!]
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