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Citations for "Developments in the Study of Cointegrated Economic Variables"

by Granger, Clive W J

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  1. Christian Gourieroux & Joann Jasiak, 1999. "Nonlinear Persistence and Copersistence," Working Papers 2000_1, York University, Department of Economics.
  2. Alejandro Diaz-Bautista, 2004. "Mexico’s Industrial Engine of Growth: Cointegration and Causality," Econometrics 0402010, EconWPA.
  3. Daniele Checchi, 1992. "Capital controls and distribution of income: Empirical evidence for Great Britain Japan and Australia," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 128(3), pages 558-587, September.
  4. Guglielmo Caporale & Davide Ciferri & Alessandro Girardi, 2010. "Time-varying spot and futures oil price dynamics," Quaderni del Dipartimento di Economia, Finanza e Statistica 75/2010, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  5. Blake, Andrew P. & Camba-Mendez, Gonzalo, 1998. "Filtered least squares and measurement error," Economics Letters, Elsevier, vol. 59(2), pages 163-168, May.
  6. Søren Johansen, 2010. "An Extension of Cointegration to Fractional Autoregressive Processes," Discussion Papers 10-28, University of Copenhagen. Department of Economics.
  7. James Payne & Hassan Mohammadi, 2004. "The transmission of shocks across real estate investment trust (REIT) markets," Applied Financial Economics, Taylor and Francis Journals, vol. 14(17), pages 1211-1217.
  8. Marcel Aloy & Gilles de Truchis, 2012. "Estimation and Testing for Fractional Cointegration," AMSE Working Papers 1215, Aix-Marseille School of Economics, Marseille, France.
  9. Tsangyao Chang & WenRong Liu & Steven Caudill, 2004. "A re-examination of Wagner's law for ten countries based on cointegration and error-correction modelling techniques," Applied Financial Economics, Taylor and Francis Journals, vol. 14(8), pages 577-589.
  10. Carruth, Alan & Dickerson, Andrew & Henley, Andrew, 2000. "Econometric Modelling of UK Aggregate Investment: The Role of Profits and Uncertainty," Manchester School, University of Manchester, vol. 68(3), pages 276-300, June.
  11. Brunetti, Celso & Gilbert, Christopher L., 2000. "Bivariate FIGARCH and fractional cointegration," Journal of Empirical Finance, Elsevier, vol. 7(5), pages 509-530, December.
  12. Avni Onder Hanedar & Elmas Yaldiz & Ozgul Bilici & Onur Akkaya, 2006. "Long Run Profit Maximization in the Turkish Manufacturing Sector," Discussion Paper Series 06/02, Dokuz Eylül University, Faculty of Business, Department of Economics, revised 30 Nov 2006.
  13. Rangan Gupta & Stephen M. Miller, 2009. ""Ripple Effects” and Forecasting Home Prices in Los Angeles, Las Vegas, and Phoenix," Working Papers 0902, University of Nevada, Las Vegas , Department of Economics.
  14. Carl E. Walsh, 1987. "Three questions concerning nominal and real interest rates," Economic Review, Federal Reserve Bank of San Francisco, issue Fall, pages 5-19.
  15. Levent, Korap, 2007. "Testing causal relationships between energy consumption, real income and prices: evidence from Turkey," MPRA Paper 21834, University Library of Munich, Germany.
  16. Katarzyna Lasak, 2008. "Maximum likelihood estimation of fractionally cointegrated systems," CREATES Research Papers 2008-53, School of Economics and Management, University of Aarhus.
  17. Christopher F Baum & John Barkoulas, 2002. "Dynamics of Intra-EMS Interest Rate Linkages," Computing in Economics and Finance 2002 13, Society for Computational Economics.
  18. Adam, Anokye M. & Tweneboah, George, 2008. "Foreign Direct Investment and Stock market Development: Ghana’s Evidence," MPRA Paper 11985, University Library of Munich, Germany, revised 2008.
  19. Maswana, Jean-Claude, 2006. "An empirical investigation around the finance-growth puzzle in China with a particular focus on causality and efficiency considerations," MPRA Paper 3946, University Library of Munich, Germany, revised Apr 2006.
  20. Lucio Sarno & Giorgio Valente & Mark E. Wohar, 2004. "Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes," Economic Inquiry, Western Economic Association International, vol. 42(2), pages 179-193, April.
  21. Suleiman Abu-Bader & Aamer Abu-Qarn, 2006. "Financial Developent and Economic Growth Nexus: Time Series Evidence from Middle Eastern and North African Countries," Working Papers 223, Ben-Gurion University of the Negev, Department of Economics.
  22. Anundsen, André Kallåk, 2013. "Economic Regime Shifts and the US Subprime Bubble," Memorandum 05/2013, Oslo University, Department of Economics.
  23. M. F. Grace & J. L. Hotchkiss, 1994. "External Impacts on the Property-Liability Insurance Cycle," Risk and Insurance 9407002, EconWPA.
  24. Rodríguez, Carlos A., 2012. "Análisis empírico de la función de demanda por gasolina en Puerto Rico: (1999-2006)
    [Empirical analysis of the demand function for gasoline in Puerto Rico: (1999-2006)]    ," MPRA Paper 41273, University Library of Munich, Germany.
  25. Haldrup, Niels & Nielsen, Frank S. & Nielsen, Morten Ørregaard, 2010. "A vector autoregressive model for electricity prices subject to long memory and regime switching," Energy Economics, Elsevier, vol. 32(5), pages 1044-1058, September.
  26. Horobet, Alexandra & Lupu, Radu, 2009. "Are Capital Markets Integrated? A Test of Information Transmission within the European Union," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 6(2), pages 64-80, June.
  27. Bank for International Settlements & Hong Kong Institute for Monetary Research, 2008. "Regional financial integration in Asia: present and future," BIS Papers, Bank for International Settlements, number 42, March.
  28. Anthony J. Richards, 1996. "Comovements in National Stock Market Returns: Evidence of Predictability but not Cointegration," IMF Working Papers 96/28, International Monetary Fund.
  29. Esther Stroe-Kunold & Joachim Werner, 2009. "A drunk and her dog: a spurious relation? Cointegration tests as instruments to detect spurious correlations between integrated time series," Quality & Quantity: International Journal of Methodology, Springer, vol. 43(6), pages 913-940, November.
  30. Khalifa Al-Yousif, Yousif, 2002. "Financial development and economic growth: Another look at the evidence from developing countries," Review of Financial Economics, Elsevier, vol. 11(2), pages 131-150.
  31. Mongkolporn, Veerasak & Yin, Xiangkang, 2005. "How does the entry of new firms change demand? An empirical estimation for a Thai telecommunications company," Journal of Asian Economics, Elsevier, vol. 16(4), pages 688-703, August.
  32. Yuan-Hong Ho & Chiung-Ju Huang, 2009. "Tax-Spend, Spend-Tax, or Fiscal Synchronization: A Panel Analysis of the Chinese Provincial Real Data," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 5(2), pages 257-272, July.
  33. Robert F. Engle & Joao Victor Issler, 1993. "Estimating Sectoral Cycles Using Cointegration and Common Features," NBER Working Papers 4529, National Bureau of Economic Research, Inc.
  34. Levent, Korap, 2007. "Testing quantity theory of money for the Turkish economy," MPRA Paper 21704, University Library of Munich, Germany.
  35. Sabuhoro, Jean Bosco & Larue, Bruno, 1997. "The market efficiency hypothesis: The case of coffee and cocoa futures," Agricultural Economics, Blackwell, vol. 16(3), pages 171-184, August.
  36. Laopodis, Nikiforos T., 2004. "Financial market liberalization and stock market efficiency: Evidence from the Athens Stock Exchange," Global Finance Journal, Elsevier, vol. 15(2), pages 103-123, August.
  37. Al-Sharkas, A.A., 2004. "Output Responses to Shocks to Interest Rates, Inflation, and Stock Returns: Evidence from Jordan," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 4(3).
  38. Kalim Hyder, 2001. "Crowding-out Hypothesis in a Vector Error Correction Framework: A Case Study of Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 40(4), pages 633-650.
  39. Clarida, Richard H. & Sarno, Lucio & Taylor, Mark P. & Valente, Giorgio, 2003. "The out-of-sample success of term structure models as exchange rate predictors: a step beyond," Journal of International Economics, Elsevier, vol. 60(1), pages 61-83, May.
  40. Giorgio Valente & Lucio Sarno, 2004. "Empirical Exchange Rate Models and Currency Risk: Some Evidence from Density Forecasts," Working Papers wp04-10, Warwick Business School, Financial Econometrics Research Centre.
  41. Luis Gil-Alana, 2009. "Government Expenditures and Revenues: Evidence of Fractional Cointegration in an Asymmetric Modeling," International Advances in Economic Research, Springer, vol. 15(2), pages 143-155, May.
  42. Climent, Francisco & Meneu, Vicente, 2003. "Has 1997 Asian crisis increased information flows between international markets," International Review of Economics & Finance, Elsevier, vol. 12(1), pages 111-143.
  43. Sergio Da Silva & Roberto Meurer & Caio Guttler, 2008. "Is the Brazilian stockmarket efficient?," Economics Bulletin, AccessEcon, vol. 7(1), pages 1-16.
  44. Pami Dua & Partha Sen, 2006. "Capital Flow Volatility And Exchange Rates-- The Case Of India," Working papers 144, Centre for Development Economics, Delhi School of Economics.
  45. De La Cruz Martinez, Justino, 1999. "Mexico's balance of payments and exchange rates: a cointegration analysis," The North American Journal of Economics and Finance, Elsevier, vol. 10(2), pages 401-421.
  46. Chan, Tze-Haw & Khong, Wye Leong Roy & Baharumshah, Ahmad Zubaidi, 2003. "Dynamic Financial Linkages of Japan and ASEAN Economies: An Application of Real Interest Parity," MPRA Paper 2209, University Library of Munich, Germany, revised 2003.
  47. Dimitris Georgoutsos & George Kouretas, 2001. "Common Stochastic Trends In International Stock Markets: Testing In An Integrated Framework," Working Papers 0104, University of Crete, Department of Economics.
  48. E. Dubois & S. Lardic & V. Mignon, 2003. "The exact maximum likelihood-based test for fractional cointegration: critical values, power and size," THEMA Working Papers 2003-26, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  49. Neil R. Ericsson, 1991. "Cointegration, exogeneity, and policy analysis: an overview," International Finance Discussion Papers 415, Board of Governors of the Federal Reserve System (U.S.).
  50. Dua, Pami & Pandit, B. L., 2002. "Interest rate determination in India: domestic and external factors," Journal of Policy Modeling, Elsevier, vol. 24(9), pages 853-875, December.
  51. Bank for International Settlements, 2008. "Integration of India's stock market with global and major regional markets," BIS Papers chapters, in: Bank for International Settlements (ed.), Regional financial integration in Asia: present and future, volume 42, pages 202-236 Bank for International Settlements.
  52. Kia, Amir, 2010. "Overnight monetary policy in the United States: Active or interest-rate smoothing?," Journal of Macroeconomics, Elsevier, vol. 32(1), pages 378-391, March.
  53. Vanegas, Manuel, Sr. & Croes, Robertico, 2007. "Tourism, Economic Expansion and Poverty in Nicaragua: Investigating Cointegration and Causal Relations," Staff Papers 7306, University of Minnesota, Department of Applied Economics.
  54. Masih, Abul M. M. & Masih, Rumi, 1996. "Empirical tests to discern the dynamic causal chain in macroeconomic activity: new evidence from Thailand and Malaysia based on a multivariate cointegration/vector error-correction modeling approach," Journal of Policy Modeling, Elsevier, vol. 18(5), pages 531-560, October.
  55. Luintel, K. B. & Paudyal, K., 1998. "Common stochastic trends between forward and spot exchange rates," Journal of International Money and Finance, Elsevier, vol. 17(2), pages 279-297, April.
  56. Masih, Abul M. M. & Masih, Rumi, 1999. "Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 7(3-4), pages 251-282, August.
  57. Eu Chye Tan, 1997. "Money demand amid financial sector developments in Malaysia," Applied Economics, Taylor and Francis Journals, vol. 29(9), pages 1201-1215.
  58. Dolado, Juan J & Jenkinson, Tim & Sosvilla-Rivero, Simon, 1990. " Cointegration and Unit Roots," Journal of Economic Surveys, Wiley Blackwell, vol. 4(3), pages 249-73.
  59. Lucio Sarno & Daniel L. Thornton, 2002. "The dynamic relationship between the federal funds rate and the Treasury bill rate: an empirical investigation," Working Papers 2000-032, Federal Reserve Bank of St. Louis.
  60. Yash P. Mehra, 1989. "Wage growth and the inflation process: an empirical note," Working Paper 89-01, Federal Reserve Bank of Richmond.
  61. Julia Campos & Neil R. Ericsson & David F. Hendry, 1987. "An analogue model of phase-averaging procedures," International Finance Discussion Papers 303, Board of Governors of the Federal Reserve System (U.S.).
  62. Aggarwal, Raj & Mougoue, Mbodja, 1996. "Cointegration among Asian currencies: Evidence of the increasing influence of the Japanese yen," Japan and the World Economy, Elsevier, vol. 8(3), pages 291-308, September.
  63. Gilles De Truchis, 2012. "Approximate Whittle Analysis of Fractional Cointegration and the Stock Market Synchronization Issue," Working Papers halshs-00793220, HAL.
  64. Lence, Sergio & Falk, Barry, 2005. "Cointegration, market integration, and market efficiency," Journal of International Money and Finance, Elsevier, vol. 24(6), pages 873-890, October.
  65. Lori Leachman, 1991. "Saving, investment, and capital mobility among OECD countries," Open Economies Review, Springer, vol. 2(2), pages 137-163, June.
  66. Pami Dua & Nishita Raje & Satyananda Sahoo, 2004. "Interest Rate Modeling and Forecasting in India," Occasional papers 3, Centre for Development Economics, Delhi School of Economics.
  67. DiPietro, William R. & Anoruo, Emmanuel & Sawhney, Bansi, 2005. "The Determinants of the Very Highest Income Shares: The Case of France," Review of Applied Economics, Review of Applied Economics, vol. 1(2).
  68. Granville, Brigitte & Mallick, Sushanta, 2006. "Does inflation or currency depreciation drive monetary policy in Russia?," Research in International Business and Finance, Elsevier, vol. 20(2), pages 163-179, June.
  69. Michael D. Bordo & Ronald MacDonald, 2001. "The Inter-War Gold Exchange Standard: Credibility and Monetary Independence," NBER Working Papers 8429, National Bureau of Economic Research, Inc.
  70. Al-Sharkas, A.A. , 2004. "Dynamic Relations Between Macroeconomic Factors and the Jordanian Stock Market," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 1(1), pages 97-114.
  71. Dimitris Kenourgios, 2005. "Price Discovery In The Athens Derivatives Exchange: Evidence For The Ftse/Ase-20 Futures Market," Finance 0512014, EconWPA.
  72. Simwaka, Kisu, 2012. "Testing for time-varying fractional cointegration using the bootstrap approach," MPRA Paper 39698, University Library of Munich, Germany.
  73. Lasak, Katarzyna, 2010. "Likelihood based testing for no fractional cointegration," Journal of Econometrics, Elsevier, vol. 158(1), pages 67-77, September.
  74. Alizadeh, Amir H. & Nomikos, Nikos K., 2007. "Investment timing and trading strategies in the sale and purchase market for ships," Transportation Research Part B: Methodological, Elsevier, vol. 41(1), pages 126-143, January.
  75. Yousif. Al-Yousif, 1999. "On the Role Exports in the Economic Growth of Malaysia: A Multivariate Analysis," International Economic Journal, Korean International Economic Association, vol. 13(3), pages 67-75.
  76. Levent KORAP & Metin YILDIRIM, 2012. "Testing the Lucas Critique for the Turkish Money Demand Function," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 27(318), pages 57-82.
  77. Masih, Rumi & Masih, Abul M. M., 2001. "Long and short term dynamic causal transmission amongst international stock markets," Journal of International Money and Finance, Elsevier, vol. 20(4), pages 563-587, August.
  78. repec:ebl:ecbull:v:3:y:2003:i:14:p:1-10 is not listed on IDEAS
  79. Dahlquist, Magnus & Jonsson, Gunnar, 1995. "The information in Swedish short-maturity forward rates," European Economic Review, Elsevier, vol. 39(6), pages 1115-1131, June.
  80. Gerdesmeier, Dieter & Roffia, Barbara, 2004. "Taylor rules for the euro area: the issue of real-time data," Discussion Paper Series 1: Economic Studies 2004,37, Deutsche Bundesbank, Research Centre.
  81. Richard H. Clarida & Lucio Sarno & Mark P. Taylor & Giorgio Valente, 2006. "The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1193-1224, May.
  82. Sandrine Lardic & Valérie Mignon, 2004. "Robert F. Engle et Clive W.J. Granger prix Nobel d'économie 2003," Revue d'économie politique, Dalloz, vol. 0(1), pages 1-15.
  83. K. Alec Chrystal & Paul Mizen, 2005. "Other financial corporations: Cinderella or ugly sister of empirical monetary economics?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(1), pages 63-80.
  84. Mookerjee, Rajen & Peebles, Gavin, 1998. "Endogenous money in China: Evidence and insights on recent policies," Journal of Asian Economics, Elsevier, vol. 9(1), pages 139-158.
  85. M.T. Alguacil & V. Orts, . "A multivariate cointegrated model testing for temporal causality between exports and outward FDI: The Spanish case," Studies on the Spanish Economy 50, FEDEA.
  86. repec:ebl:ecbull:v:7:y:2008:i:1:p:1-16 is not listed on IDEAS
  87. 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.
  88. Andreas Humpe & Peter D. Macmillan, 2005. "Can macroeconomic variables explain long term stock market movements? A comparison of the US and Japan," CRIEFF Discussion Papers 0511, Centre for Research into Industry, Enterprise, Finance and the Firm.
  89. Shadman-Mehta, Fatemeh, 1996. "Does Modern Econometrics replicate the Phillips Curve?," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 1996015, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  90. Madura, J. & Wiley, M. K. & Zarruk, E. R., 1998. "Cointegration of term structure premiums across countries," Journal of Multinational Financial Management, Elsevier, vol. 8(4), pages 393-412, November.
  91. Qayyum, Abdul, 2005. "Modelling the Demand for Money in Pakistan," MPRA Paper 2057, University Library of Munich, Germany, revised 2005.
  92. Sarwar, Ghulam, 1997. "Efficiency of black markets in foreign currencies in Southeast Asia," Journal of Multinational Financial Management, Elsevier, vol. 7(4), pages 333-344, December.
  93. Ostermark, Ralf, 2001. "Multivariate cointegration analysis of the Finnish-Japanese stock markets," European Journal of Operational Research, Elsevier, vol. 134(3), pages 498-507, November.
  94. Jose A. Lopez, 1996. "Exchange rate cointegration across central bank regime shifts," Research Paper 9602, Federal Reserve Bank of New York.
  95. Catarina Figueira & John Glen & Joseph Nellis, 2005. "A Dynamic Analysis of Mortgage Arrears in the UK Housing Market," Urban/Regional 0509006, EconWPA.
  96. Baffes, John & Shah, Anwar, 1990. "Taxing choices in deficit reduction," Policy Research Working Paper Series 556, The World Bank.
  97. Masih, A. Mansur M. & Masih, Rumi, 2002. "Propagative causal price transmission among international stock markets: evidence from the pre- and postglobalization period," Global Finance Journal, Elsevier, vol. 13(1), pages 63-91.
  98. Mariangela Bonasia & Oreste Napolitano, 2006. "The Impact of Privatisation of Pension System on National Saving: The Case of Australia and Iceland," Discussion Papers 3_2006, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.
  99. Fisher, Douglas, 1996. "Monetary aggregation in the United States and Canada," The North American Journal of Economics and Finance, Elsevier, vol. 7(1), pages 91-106.
  100. Francis, Brian M. & Moseley, Leo & Iyare, Sunday Osaretin, 2007. "Energy consumption and projected growth in selected Caribbean countries," Energy Economics, Elsevier, vol. 29(6), pages 1224-1232, November.
  101. Paramsothy Silvapulle, 2001. "A Score Test For Seasonal Fractional Integration And Cointegration," Econometric Reviews, Taylor and Francis Journals, vol. 20(1), pages 85-104.
  102. Arize, Augustine C., 2002. "Imports and exports in 50 countries: Tests of cointegration and structural breaks," International Review of Economics & Finance, Elsevier, vol. 11(1), pages 101-115, April.
  103. Hall, Stephen G. & Hondroyiannis, George & Swamy, P.A.V.B. & Tavlas, George S., 2009. "Assessing the causal relationship between euro-area money and prices in a time-varying environment," Economic Modelling, Elsevier, vol. 26(4), pages 760-766, July.
  104. Bukenya, James O. & Labys, Walter C., 2007. "Do fluctuations in wine stocks affect wine prices?," Working Papers 37317, American Association of Wine Economists.
  105. Amir Kia & Ali F. Darrat, 2003. "Modeling Money Demand under the Profit-Sharing Banking Scheme: Evidence on Policy Invariance and Long-Run Stability," Carleton Economic Papers 03-13, Carleton University, Department of Economics, revised Apr 2007.
  106. Kia, Amir, 2006. "Deficits, debt financing, monetary policy and inflation in developing countries: Internal or external factors?: Evidence from Iran," Journal of Asian Economics, Elsevier, vol. 17(5), pages 879-903, November.
  107. Arthur De Vany & W. David Walls, 1993. "Pipeline Access and Market Integration in the Natural Gas Industry: Evidence from Cointegration Tests," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4), pages 1-20.
  108. Pami Dua, 2004. "Analysis of Consumers' Perceptions of Buying Conditions for Houses," Working papers 127, Centre for Development Economics, Delhi School of Economics.
  109. Anoruo, Emmanuel & Ramchander, Sanjay, 1998. "Current account and fiscal deficits: Evidence from five developing economies of Asia," Journal of Asian Economics, Elsevier, vol. 9(3), pages 487-501.
  110. Chan, Tze-Haw, 2002. "Dynamic financial linkages among the Asia Pacific economies: an empirical assessment of real interest parity condition," MPRA Paper 34642, University Library of Munich, Germany.
  111. Tsangyao Chang & Yang-Cheng Lu, 2006. "Equity Diversification in Two Chinese Share Markets: Old Wine and New Bottle," Economics Bulletin, AccessEcon, vol. 7(4), pages 1-7.
  112. Wahab, Mahmoud, 1997. "On risk, rationality and the predictive ability of European short-term adjusted yield spreads," Journal of International Money and Finance, Elsevier, vol. 16(5), pages 737-765, September.
  113. Levent, Korap, 2007. "Does the interest differential explain future exchange rate return? a re-examination of the UIP hypothesis for the Turkish economy," MPRA Paper 19618, University Library of Munich, Germany.
  114. Richard T. Baillie & Rehim Kilic, 2005. "Do Asymmetric and Nonlinear Adjustments Explain the Forward Premium Anomaly?," Working Papers 543, Queen Mary, University of London, School of Economics and Finance.
  115. Danilo Mercurio & Costanza Torricelli, 2003. "Estimation and arbitrage opportunities for exchange rate baskets," Applied Economics, Taylor and Francis Journals, vol. 35(15), pages 1689-1698.
  116. Bremnes, Helge & Gjerde, Oystein & Saettem, Frode, 1997. "A multivariate cointegration analysis of interest rates in the Eurocurrency market," Journal of International Money and Finance, Elsevier, vol. 16(5), pages 767-778, September.
  117. Eduardo Rossi & Paolo Santucci de Magistris, 2009. "Long Memory and Tail dependence in Trading Volume and Volatility," CREATES Research Papers 2009-30, School of Economics and Management, University of Aarhus.
  118. Speight, Alan E. H. & McMillan, David G., 2001. "Volatility spillovers in East European black-market exchange rates," Journal of International Money and Finance, Elsevier, vol. 20(3), pages 367-378, June.
  119. Rangan Gupta & Stephen M. Miller, 2009. "The Time-Series Properties of House Prices: A Case Study of the Southern California Market," Working Papers 0912, University of Nevada, Las Vegas , Department of Economics, revised Dec 2009.
  120. Christos Floros, 2005. "Price Linkages Between the US, Japan and UK Stock Markets," Financial Markets and Portfolio Management, Springer, vol. 19(2), pages 169-178, August.
  121. John Baffore-Bonnie & Mohammed Khayum, 1997. "Economic Development, Life-Cycle Consumption and Planning Hirizon," International Economic Journal, Korean International Economic Association, vol. 11(4), pages 17-37.
  122. Wong Keung-Wing & Habibullah Khan & Jun Du, 2006. "Money, Interest Rate and Stock Prices: New Evidence from Singapore and The United States," Departmental Working Papers wp0601, National University of Singapore, Department of Economics.
  123. Carl Bonham & Richard Cohen & Shigeyuki Abe, 2006. "The Rationality and Heterogeneity of Survey Forecasts of the Yen-Dollar Exchange Rate: A Reexamination," Working Papers 200611, University of Hawaii at Manoa, Department of Economics.
  124. Eichholtz, Piet M.A. & Hartzell, David J., 1996. "Property shares, appraisals and the stock market: An international perspective," Open Access publications from Maastricht University urn:nbn:nl:ui:27-13989, Maastricht University.
  125. Dennis Hoffman & Robert H. Rasche, 1989. "The Demand For Money in the U.S. During the Great Depression: Estimates and Comparison with the Post War Experience," NBER Working Papers 3217, National Bureau of Economic Research, Inc.
  126. Erdogdu, Erkan, 2007. "Electricity demand analysis using cointegration and ARIMA modelling: A case study of Turkey," Energy Policy, Elsevier, vol. 35(2), pages 1129-1146, February.
  127. Kim, Don H. & Loretan, Mico & Remolona, Eli M., 2010. "Contagion and risk premia in the amplification of crisis: Evidence from Asian names in the global CDS market," Journal of Asian Economics, Elsevier, vol. 21(3), pages 314-326, June.
  128. Hutchison, Michael M. & Singh, Nirvikar, 1997. "Equilibrium Real Interest Rate Linkages: The United States and Japan," Journal of the Japanese and International Economies, Elsevier, vol. 11(2), pages 208-227, June.
  129. Lucio Sarno & Mark P. Taylor, 2002. "Purchasing Power Parity and the Real Exchange Rate," IMF Staff Papers, Palgrave Macmillan, vol. 49(1), pages 5.
  130. Levent, Korap, 2008. "Exchange rate determination of TL/US$: a co-integration approach," MPRA Paper 19659, University Library of Munich, Germany.
  131. Hartman, Raymond S. & Tabors, Richard D., 1998. "Optimal operating arrangements in the restructured world: economic issues," Energy Policy, Elsevier, vol. 26(2), pages 75-83, February.
  132. Frederico Gonzaga Jayme Junior, 2001. "External debt sustainability: empirical evidence in Brazil," Textos para Discussão Cedeplar-UFMG td154, Cedeplar, Universidade Federal de Minas Gerais.
  133. Kühl, Michael, 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 Discussion Papers 68, University of Goettingen, Department of Economics.
  134. John FitzGerald & Susan Scott & Mary Keeney, 2007. "Assessing Vulnerability of Selected Sectors Under Environmental Tax Reform: The Issue of Pricing Power," Papers WP222, Economic and Social Research Institute (ESRI).
  135. Alderman, Harold, 1992. "Intercommodity price transmittal : analysis offood markets in Ghana," Policy Research Working Paper Series 884, The World Bank.
  136. Engle, Robert F. & Issler, Joao Victor, 1995. "Estimating common sectoral cycles," Journal of Monetary Economics, Elsevier, vol. 35(1), pages 83-113, February.
  137. Antonelli, Cristiano & Barbierini Amidei, Federico & Fassio, Claudio, 2012. "The mechanisms of knowledge governance: State owned enterprises and Italian economic growth, 1950-1994," Dipartimento di Economia "S. Cognetti de Martiis" LEI & BRICK - Laboratorio di economia dell'innovazione "Franco Momigliano", Bureau of Research in Innovation, Complexity and Knowledge, Collegio Carlo 201210, University of Turin.
  138. Önder Hanedar & Elmas Yaldýz & Özgül Bilici & Onur Akkaya, 2006. "Long Run Profit Maximization in Turkish Manufacturing Sector," Papers of the Annual IUE-SUNY Cortland Conference in Economics, in: Proceedings of the Conference on Human and Economic Resources, pages 239-248 Izmir University of Economics.
  139. Aamer Abu-Qarn & Suleiman Abu-Bader, 2001. "The Validity of the ELG Hypothesis in the MENA Region: Cointegration and Error Correction Model Analysis," Working Papers 134, Ben-Gurion University of the Negev, Department of Economics.
  140. Carl S Bonham & Richard H Cohen, 2000. "To Aggregate, Pool, or Neither: Testing the Rational Expectations Hypothesis Using Survey Data," Working Papers 200003, University of Hawaii at Manoa, Department of Economics.
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