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Citations for " On Cointegration and Exchange Rate Dynamics" by Diebold, Francis X & Gardeazabal, Javier & Yilmaz, Kamil
For a complete description of this item, click here .
Cited by (explanations , 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.): Yann Schorderet, 2002.
"A Nonlinear Generalization of Cointegration : A Note on Hidden Cointegration ,"
Cahiers du Département d'Econométrie
2002.03, Département d'Econométrie, Université de Genève.
[Downloadable!]
Kilian, Lutz, 1999.
"Exchange Rates and Monetary Fundamentals: What Do We Learn from Long-Horizon Regressions? ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 14(5), pages 491-510, Sept.-Oct.
[Downloadable!]
Jérôme Héricourt & Julien Reynaud, 2006.
"La crise monétaire turque de 2000/2001 : analyse de l'échec du plan de stabilisation par le change du FMI ,"
Cahiers de la Maison des Sciences Economiques
bla06009, Université Panthéon-Sorbonne (Paris 1).
[Downloadable!]
Other versions: Michael Kühl, 2007.
"Cointegration in the Foreign Exchange Market and Market Efficiency since the Introduction of the Euro: Evidence based on bivariate Cointegration Analyses ,"
Center for European, Governance and Economic Development Research (cege) Discussion Papers
68, Center for European, Governance and Economic Development Research, University of Goettingen (Germany)..
[Downloadable!]
Angela J. Black & David G. McMillan, 2004.
"Long run trends and volatility spillovers in daily exchange rates ,"
Applied Financial Economics ,
Taylor and Francis Journals, vol. 14(12), pages 895-907, August.
[Downloadable!] (restricted)
Eric Zivot, 1998.
"Cointegration and Forward and Spot Exchange Rate Regressions ,"
Econometrics
9812001, EconWPA.
[Downloadable!]
Heejoon Kang, 2006.
"Inappropriate Detrending and Spurious Cointegration ,"
Working Papers
2006-14, Indiana University, Kelley School of Business, Department of Business Economics and Public Policy.
[Downloadable!]
Other versions: Charles Engel & Nelson C. Mark & Kenneth D. West, 2007.
"Exchange Rate Models Are Not as Bad as You Think ,"
NBER Working Papers
13318, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
John Barkoulas & Christopher F. Baum & Gurkan S. Oguz, 1996.
"Fractional Cointegration Analysis of Long Term International Interest Rates ,"
Boston College Working Papers in Economics
315., Boston College Department of Economics.
[Downloadable!]
Naka, Atsuyuki & Mukherjee, Tarun K. & Tufte, David R., 1998.
"Macroeconomic variables and the performance of the Indian Stock Market ,"
Working Papers
1998-06, University of New Orleans, Department of Economics and Finance.
[Downloadable!]
Young-Sook Lee & Tae-Hwan Kim & Paul Newbold, 2005.
"Revisiting the Martingale hypothesis for exchange rates ,"
Money Macro and Finance (MMF) Research Group Conference 2005
19, Money Macro and Finance Research Group.
[Downloadable!]
Katsumi Shimotsu & Morten Ørregaard Nielsen, 2006.
"Determining the Cointegrating Rank in Nonstationary Fractional Systems by the Exact Local Whittle Approach ,"
Working Papers
1029, Queen's University, Department of Economics.
[Downloadable!]
Other versions: A. Mansur M. Masih & Rumi Masih, 2004.
"Fractional cointegration, low frequency dynamics and long-run purchasing power parity: an analysis of the Australian dollar over its recent float ,"
Applied Economics ,
Taylor and Francis Journals, vol. 36(6), pages 593-605, April.
[Downloadable!] (restricted)
Greg Tkacz, 2001.
"Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator ,"
Studies in Nonlinear Dynamics & Econometrics ,
Berkeley Electronic Press, vol. 5(1), pages 1068-1068.
[Downloadable!] (restricted)
Other versions: David G. McMillan, 2005.
"Cointegrating behaviour between spot and forward exchange rates ,"
Applied Financial Economics ,
Taylor and Francis Journals, vol. 15(16), pages 1135-1144, November.
[Downloadable!] (restricted)
Jose A. Lopez, 1996.
"Exchange rate cointegration across central bank regime shifts ,"
Research Paper
9602, Federal Reserve Bank of New York.
[Downloadable!]
Marie-Josée Godbout & Simon van Norden, 1997.
"Reconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples ,"
Working Papers
97-1, Bank of Canada.
[Downloadable!]
M. Martin Boyer & Simon van Norden, 2006.
"Exchange Rates and Order Flow in the Long Run ,"
CIRANO Working Papers
2006s-07, CIRANO.
[Downloadable!]
Other versions: John Barkoulas & Christopher F. Baum, 1996.
"A Re-examination of the Fragility of Evidence from Cointegration- Based Tests of Foreign Exchange Market Efficiency ,"
Boston College Working Papers in Economics
311., Boston College Department of Economics.
[Downloadable!]
Other versions: Arjun Chatrath & Youguo Liang, 1998.
"REITs and Inflation: A Long-Run Perspective ,"
Journal of Real Estate Research ,
American Real Estate Society, vol. 16(3), pages 311-326.
[Downloadable!]
Morten Oerregaard Nielsen, .
"Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics ,"
Economics Working Papers
2002-7, School of Economics and Management, University of Aarhus.
[Downloadable!]
Other versions: Derek W. Bunn & Carlo Fezzi, 2007.
"Interaction of European Carbon Trading and Energy Prices ,"
Working Papers
2007.63, Fondazione Eni Enrico Mattei.
[Downloadable!]
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!]
Yann Schorderet, 2003.
"Asymmetric Cointegration ,"
Cahiers du Département d'Econométrie
2003.01, Département d'Econométrie, Université de Genève.
[Downloadable!]
Uwe Hassler & Francesc Marmol & Carlos Velasco, 2002.
"Residual Log-Periodogram Inference for Long-Run Relationships ,"
Darmstadt Discussion Papers in Economics
115, Institut für Volkswirtschaftslehre (Department of Economics), Technische Universität Darmstadt (Darmstadt University of Technology).
[Downloadable!]
Other versions: Karim Abadir & Gabriel Talmain, 2005.
"Distilling co-movements from persistent macro and financial series ,"
Working Paper Series
525, European Central Bank.
[Downloadable!]
Shi-Miin Liu & Chih-Hsien Chou, 2003.
"Parities and Spread Trading in Gold and Silver Markets: A Fractional Cointegration Analysis ,"
Applied Financial Economics ,
Taylor and Francis Journals, vol. 13(12), pages 879-891, December.
[Downloadable!] (restricted)
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This page was last updated on 2008-11-26.
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