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Econometric Tests Of Rationality And Market Efficiency

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  • BAILLIE, R.T.

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Bibliographic Info

Paper provided by Michigan State - Econometrics and Economic Theory in its series Papers with number 8805.

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Length: 52 pages
Date of creation: 1988
Date of revision:
Handle: RePEc:fth:mistet:8805

Contact details of provider:
Postal: MICHIGAN STATE UNIVERSITY, DEPARTMENT OF ECONOMICS, EAST LANSING MICHIGAN 48824 U.S.A.
Phone: 517.355.7583
Fax: 517.432.1068
Web page: http://econ.msu.edu/
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Related research

Keywords: econometrics ; market ; efficiency;

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Cited by:
  1. Søren Johansen & 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.
  2. 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.
  3. Eric Zivot, 1998. "Cointegration and Forward and Spot Exchange Rate Regressions," Econometrics 9812001, EconWPA.
  4. 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.
  5. repec:ese:iserwp:2000-30 is not listed on IDEAS
  6. Blix, Mårten, 1997. "Rational Expectations in a VAR with Markov Switching," Seminar Papers 627, Stockholm University, Institute for International Economic Studies.
  7. Dimitris Kenourgios, 2005. "Testing Efficiency And The Unbiasedness Hypothesis Of The Emerging Greek Futures Market," Finance 0512015, EconWPA.

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