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Citations for "Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets"

by Brenner, Robin J. & Kroner, Kenneth F.

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  1. Chu, Quentin C. & Pittman, Deborah N. & Yu, Linda Q., 2003. "Real rates, nominal rates, and the Fisherian link," International Review of Financial Analysis, Elsevier, vol. 12(2), pages 189-205.
  2. Barkoulas, John T. & Baum, Christopher F., 1998. "Fractional dynamics in Japanese financial time series," Pacific-Basin Finance Journal, Elsevier, vol. 6(1-2), pages 115-124, May.
  3. Guglielmo Maria Caporale & Davide Ciferri & Alessandro Girardi, 2010. "Time-Varying Spot and Futures Oil Price Dynamics," CESifo Working Paper Series 3015, CESifo Group Munich.
  4. Abraham, Abraham, 1999. "Interest rate dynamics and speculative trading in a fixed exchange rate system," International Review of Economics & Finance, Elsevier, vol. 8(2), pages 213-222, June.
  5. Dahl, Christian M. & Iglesias, Emma M., 2009. "Volatility spill-overs in commodity spot prices: New empirical results," Economic Modelling, Elsevier, vol. 26(3), pages 601-607, May.
  6. Malini, Nair, 2005. "Arbitrage, cointegration and testing the unbiasedness hypothesis in coffee futures traded at the CSCE," MPRA Paper 37530, University Library of Munich, Germany.
  7. Clinton Watkins & Michael McAleer, 2003. "Pricing of Non-ferrous Metals Futures on the London Metal Exchange," CIRJE F-Series CIRJE-F-213, CIRJE, Faculty of Economics, University of Tokyo.
  8. Vicente Meneu & Hipolit Torro, . "Asymmetric covariance in sport-future markets," Studies on the Spanish Economy 135, FEDEA.
  9. Jeffrey A. Frankel, 2006. "The Effect of Monetary Policy on Real Commodity Prices," NBER Working Papers 12713, National Bureau of Economic Research, Inc.
  10. Menzie D. Chinn & Olivier Coibion, 2010. "The Predictive Content of Commodity Futures," NBER Working Papers 15830, National Bureau of Economic Research, Inc.
  11. Fabrizio Casalin, 2007. "Single Equation Models, Co-Integration and the Expectations Hypothesis of the Term Structure of Interest Rates," Discussion Papers in Economics 07/06, Department of Economics, University of Leicester.
  12. Figuerola-Ferretti, Isabel & Gonzalo, Jesús, 2010. "Modelling and measuring price discovery in commodity markets," Journal of Econometrics, Elsevier, vol. 158(1), pages 95-107, September.
  13. Wagner, Christian, 2009. "Risk-Premia, Carry-Trade Dynamics, and Economic Value of Currency Speculation," MPRA Paper 21125, University Library of Munich, Germany.
  14. Hiroaki Chigira, 2005. "A Test of Serial Independence of Deviations from Cointegrating Relations," Hi-Stat Discussion Paper Series d04-69, Institute of Economic Research, Hitotsubashi University.
  15. Menzie D. Chinn & Guy Meredith, 2005. "Testing Uncovered Interest Parity at Short and Long Horizons during the Post-Bretton Woods Era," NBER Working Papers 11077, National Bureau of Economic Research, Inc.
  16. Godbout, M.J. & Van Norden, S., 1996. "Unit-Root Test and Excess Returns," Working Papers 96-10, Bank of Canada.
  17. Frankel, Jeffrey A. & Rose, Andrew K., 2010. "Determinants of Agricultural and Mineral Commodity Prices," Scholarly Articles 4450126, Harvard Kennedy School of Government.
  18. Ken Urai, 2006. "Social Recognition and Economic Equilibrium," Discussion Papers in Economics and Business 06-29, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).
  19. Ackert, Lucy F. & Racine, M. D., 1999. "Stochastic trends and cointegration in the market for equities," Journal of Economics and Business, Elsevier, vol. 51(2), pages 133-143, March.
  20. Tse, Yiuman, 2001. "Index arbitrage with heterogeneous investors: A smooth transition error correction analysis," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1829-1855, October.
  21. Heaney, Richard, 2002. "Does knowledge of the cost of carry model improve commodity futures price forecasting ability?: A case study using the London Metal Exchange lead contract," International Journal of Forecasting, Elsevier, vol. 18(1), pages 45-65.
  22. Canto, Bea & Kräussl, Roman, 2007. "Electronic trading systems and intraday non-linear dynamics: An examination of the FTSE 100 cash and futures returns," CFS Working Paper Series 2007/20, Center for Financial Studies (CFS).
  23. Sequeira, John M & Chiat, Pang Chia & McAleer, Michael, 2004. "Volatility models of currency futures in developed and emerging markets," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 64(1), pages 79-93.
  24. Inoue, Takeshi & Hamori, Shigeyuki, 2012. "Market efficiency of commodity futures in India," IDE Discussion Papers 370, Institute of Developing Economies, Japan External Trade Organization(JETRO).
  25. Elyasiani, Elyas & Kocagil, Ahmet E. & Mansur, Iqbal, 2007. "Information transmission and spillover in currency markets: A generalized variance decomposition analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(2), pages 312-330, May.
  26. Yang, Linghubo & Zhang, Dongxiang, 2013. "Can futures price be a powerful predictor? Frequency domain analysis on Chinese commodity market," Economic Modelling, Elsevier, vol. 35(C), pages 264-271.
  27. Yang Hou & Steven Li, 2013. "Price Discovery in Chinese Stock Index Futures Market: New Evidence Based on Intraday Data," Asia-Pacific Financial Markets, Springer, vol. 20(1), pages 49-70, March.
  28. Christian Wagner, 2008. "Risk-Premia, Carry-Trade Dynamics, and Speculative Efficiency of Currency Markets," Working Papers 143, Oesterreichische Nationalbank (Austrian Central Bank).
  29. Pierdzioch, Christian & Rülke, Jan-Christoph & Stadtmann, Georg, 2013. "Forecasting metal prices: Do forecasters herd?," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 150-158.
  30. 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.
  31. Martens, Martin & Kofman, Paul, 1998. "The inefficiency of Reuters foreign exchange quotes," Journal of Banking & Finance, Elsevier, vol. 22(3), pages 347-366, March.
  32. Root, Thomas H. & Lien, Donald, 2003. "Can modeling the natural gas futures market as a threshold cointegrated system improve hedging and forecasting performance?," International Review of Financial Analysis, Elsevier, vol. 12(2), pages 117-133.
  33. Piotr Arendarski & Łukasz Postek, 2012. "Cointegration Based Trading Strategy For Soft Commodities Market," Working Papers 2012-02, Faculty of Economic Sciences, University of Warsaw.
  34. Lien, Donald & Root, Thomas H., 1999. "Convergence to the long-run equilibrium: the case of natural gas markets," Energy Economics, Elsevier, vol. 21(2), pages 95-110, April.
  35. 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.
  36. Chinn, Menzie David & Meredith, Guy, 2000. "Interest parity at short and long horizons," SFB 373 Discussion Papers 2000,44, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  37. Hochradl, Markus & Wagner, Christian, 2010. "Trading the forward bias: Are there limits to speculation?," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 423-441, April.
  38. Jeng, Jau-Lian, 1999. "Interest parity, fractional differencing, and the strength of attraction: a reexamination of the cost-of-carry futures pricing model," Global Finance Journal, Elsevier, vol. 10(1), pages 25-34.
  39. Shi, Jing & Xu, Tracy, 2013. "Price and volatility dynamics between securitized real estate spot and futures markets," Economic Modelling, Elsevier, vol. 35(C), pages 582-592.
  40. Sergio Mayordomo & Juan Ignacio Peña & Juan Romo, 2009. "Are There Arbitrage Opportunities in Credit Derivatives Markets? A New Test and an Application to the Case of CDS and ASPs," Business Economics Working Papers wb096303, Universidad Carlos III, Departamento de Economía de la Empresa.