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Citations for "On cointegration and exchange rate dynamics"

by Francis X. Diebold & Javier Gardeazabal & Kamil Yilmaz

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  1. Aggarwal, Raj & Mougoue, Mbodja, 1996. "Cointegration among Asian currencies: Evidence of the increasing influence of the Japanese yen," Japan and the World Economy, Elsevier, Elsevier, vol. 8(3), pages 291-308, September.
  2. Eric Renault & Khalid Sekkat & Ariane Szafarz, 1998. "Testing for Spurious Causality in Exchange Rates," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles 2013/709, ULB -- Universite Libre de Bruxelles.
  3. 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, University of Goettingen, Department of Economics 68, University of Goettingen, Department of Economics.
  4. Kam C. Chan & Louis T. W. Cheng & Joseph K. W. Fung, 2001. "Ownership Restrictions and Stock-Price Behavior in China," Chinese Economy, M.E. Sharpe, Inc., M.E. Sharpe, Inc., vol. 34(1), pages 29-48, January.
  5. P. S. Sephton, 2002. "Fractional cointegration: Monte Carlo estimates of critical values, with an application," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 12(5), pages 331-335.
  6. Morten Oerregaard Nielsen, . "Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics," Economics Working Papers, School of Economics and Management, University of Aarhus 2002-7, School of Economics and Management, University of Aarhus.
  7. repec:hal:journl:halshs-00084717 is not listed on IDEAS
  8. Abul M.M. Masih & Rumi Masih, 1998. "A Fractional Cointegration Approach to Testing Mean Reversion Between Spot and Forward Exchange Rates: A Case of High Frequency Data with Low Frequency Dynamics," Journal of Business Finance & Accounting, Wiley Blackwell, Wiley Blackwell, vol. 25(7&8), pages 987-1003.
  9. Frank S. Nielsen, 2011. "Local Whittle estimation of multi‐variate fractionally integrated processes," Journal of Time Series Analysis, Wiley Blackwell, Wiley Blackwell, vol. 32(3), pages 317-335, 05.
  10. Lin, Yan-Xia & McCrae, Michael & M. Gulati, Chandra, 1998. "Cointegration between exchange rates: a generalized linear cointegration model," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 8(2-3), pages 333-352, September.
  11. Hassler, U. & Marmol, F. & Velasco, C., 2006. "Residual log-periodogram inference for long-run relationships," Journal of Econometrics, Elsevier, Elsevier, vol. 130(1), pages 165-207, January.
  12. John P. Lajaunie & Atsuyuki Naka, 1997. "Re-examining Cointegration, Unit Roots and Efficiency in Foreign Exchange Rates," Journal of Business Finance & Accounting, Wiley Blackwell, Wiley Blackwell, vol. 24(3), pages 363-374.
  13. Ho, Mun S & Sorensen, Bent E, 1996. "Finding Cointegration Rank in High Dimensional Systems Using the Johansen Test: An Illustration Using Data Based Monte Carlo Simulations," The Review of Economics and Statistics, MIT Press, MIT Press, vol. 78(4), pages 726-32, November.
  14. Eric Zivot, 1998. "Cointegration and Forward and Spot Exchange Rate Regressions," Econometrics, EconWPA 9812001, EconWPA.
  15. Sequeira, John M., 1997. "Econometric modelling of long-run relationships in the Singapore currency futures market," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 43(3), pages 421-427.
  16. Aroskar, Raj & Sarkar, Salil K. & Swanson, Peggy E., 2004. "European foreign exchange market efficiency: Evidence based on crisis and noncrisis periods," International Review of Financial Analysis, Elsevier, Elsevier, vol. 13(3), pages 333-347.
  17. Abadir, Karim & Talmain, Gabriel, 2005. "Distilling co-movements from persistent macro and financial series," Working Paper Series, European Central Bank 0525, European Central Bank.
  18. Bang Nam Jeon & Euiseong Lee, 2002. "Foreign exchange market efficiency, cointegration, and policy coordination," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 9(1), pages 61-68.
  19. Yann Schorderet, 2002. "A Nonlinear Generalization of Cointegration : A Note on Hidden Cointegration," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva, Institut d'Economie et Econométrie, Université de Genève 2002.03, Institut d'Economie et Econométrie, Université de Genève.
  20. Sweeney, Richard J., 2006. "Mean Reversion in G-10 Nominal Exchange Rates," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 41(03), pages 685-708, September.
  21. Abraham, Abraham, 1999. "Interest rate dynamics and speculative trading in a fixed exchange rate system," International Review of Economics & Finance, Elsevier, Elsevier, vol. 8(2), pages 213-222, June.
  22. Madura, J. & Wiley, M. K. & Zarruk, E. R., 1998. "Cointegration of term structure premiums across countries," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 8(4), pages 393-412, November.
  23. Luintel, K. B. & Paudyal, K., 1998. "Common stochastic trends between forward and spot exchange rates," Journal of International Money and Finance, Elsevier, Elsevier, vol. 17(2), pages 279-297, April.
  24. 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," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL halshs-00084717, HAL.
  25. Lucas, André, 1997. "Strategic and tactical asset allocation and the effect of long-run equilibrium relations," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics 0042, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  26. Henry, Jerome & Jens Weidmann, 1994. "The French-German Interest Rate Differential since German Unification: The Impact of the 1992 and 1993 EMS Crisis," Discussion Paper Serie B, University of Bonn, Germany 295, University of Bonn, Germany.
  27. David McMillan, 2005. "Cointegrating behaviour between spot and forward exchange rates," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 15(16), pages 1135-1144.
  28. DeGennaro, Ramon P & Kunkel, Robert A & Lee, Junsoo, 1994. "Modeling International Long-Term Interest Rates," The Financial Review, Eastern Finance Association, Eastern Finance Association, vol. 29(4), pages 577-97, November.
  29. Kühl, Michael, 2010. "Bivariate cointegration of major exchange rates, cross-market efficiency and the introduction of the Euro," Journal of Economics and Business, Elsevier, Elsevier, vol. 62(1), pages 1-19, January.
  30. Qi, Min & Wu, Yangru, 2003. "Nonlinear prediction of exchange rates with monetary fundamentals," Journal of Empirical Finance, Elsevier, Elsevier, vol. 10(5), pages 623-640, December.
  31. Manolis Kavussanos & Ilias Visvikis & David Menachof, 2005. "The Unbiasedness Hypothesis in the Freight Forward Market: Evidence from Cointegration Tests," Review of Derivatives Research, Springer, Springer, vol. 7(3), pages 241-266, October.
  32. Kim, Jeong-Ryeol, 2002. "The stable long-run CAPM and the cross-section of expected returns," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre 2002,05, Deutsche Bundesbank, Research Centre.
  33. Kilian, Lutz, 1999. "Exchange Rates and Monetary Fundamentals: What Do We Learn from Long-Horizon Regressions?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 14(5), pages 491-510, Sept.-Oct.
  34. Joakim Westerlund & Paresh Narayan, 2013. "Testing the Efficient Market Hypothesis in Conditionally Heteroskedastic Futures Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 33(11), pages 1024-1045, November.
  35. Chen, Willa W. & Hurvich, Clifford M., 2003. "Estimating fractional cointegration in the presence of polynomial trends," Journal of Econometrics, Elsevier, Elsevier, vol. 117(1), pages 95-121, November.
  36. Rangvid, Jesper & Sørensen, Carsten, 2000. "Convergence in the ERM and declining numbers of common stochastic trends," Working Papers, Copenhagen Business School, Department of Finance 2000-8, Copenhagen Business School, Department of Finance.
  37. Mohammed Nishat & Rozina Shaheen, 2004. "Macroeconomic Factors and Pakistani Equity Market," The Pakistan Development Review, Pakistan Institute of Development Economics, Pakistan Institute of Development Economics, vol. 43(4), pages 619-637.
  38. Jose A. Lopez, 1996. "Exchange rate cointegration across central bank regime shifts," Research Paper, Federal Reserve Bank of New York 9602, Federal Reserve Bank of New York.
  39. Jérôme HENRY & Jens WEIDMANN, 1995. "Asymmetry in the EMS revisited: Evidence from the Causality Analysis of Daily Eurorates," Annales d'Economie et de Statistique, ENSAE, ENSAE, issue 40, pages 125-160.
  40. Yann Schorderet, 2003. "Asymmetric Cointegration," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva, Institut d'Economie et Econométrie, Université de Genève 2003.01, Institut d'Economie et Econométrie, Université de Genève.
  41. Marie-Josée Godbout & Simon van Norden, 1997. "Reconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples," Working Papers, Bank of Canada 97-1, Bank of Canada.
  42. Xu Cheng & Peter C. B. Phillips, 2009. "Cointegrating Rank Selection in Models with Time-Varying Variance," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1688, Cowles Foundation for Research in Economics, Yale University.
  43. Carol Alexandra & Anca Dimitriu, 2002. "The Cointegration Alpha: Enchanced Index Tracking and Long-Short Equity Market Neutral Stragies," ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University icma-dp2002-08, Henley Business School, Reading University.
  44. Trapletti, Adrian & Geyer, Alois & Leisch, Friedrich, 2002. "Forecasting Exchange Rates Using Cointegration Models and Inra-day Data," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 21(3), pages 151-66, April.
  45. Tkacz, Greg, 2000. "Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator," Working Papers, Bank of Canada 00-5, Bank of Canada.
  46. John Barkoulas & Christopher F. Baum & Gurkan S. Oguz, 1996. "Fractional Cointegration Analysis of Long Term International Interest Rates," Boston College Working Papers in Economics, Boston College Department of Economics 315., Boston College Department of Economics.
  47. Pan, Ming-Shiun & Liu, Y. Angela, 1999. "Fractional cointegration, long memory, and exchange rate dynamics," International Review of Economics & Finance, Elsevier, Elsevier, vol. 8(3), pages 305-316, September.
  48. 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.
  49. Karim M. Abadir & Gabriel Talmain, 2012. "Beyond Co-Integration: Modelling Co-Movements in Macro finance," Working Paper Series, The Rimini Centre for Economic Analysis 25_12, The Rimini Centre for Economic Analysis.
  50. 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 & Francis Journals, Taylor & Francis Journals, vol. 36(6), pages 593-605.
  51. Heejoon Kang, 2004. "Inappropriate Detrending and Spurious Cointegration," Econometric Society 2004 Far Eastern Meetings, Econometric Society 624, Econometric Society.
  52. Zivot, Eric, 2000. "Cointegration and forward and spot exchange rate regressions," Journal of International Money and Finance, Elsevier, Elsevier, vol. 19(6), pages 785-812, December.
  53. Wu, Jyh-Lin & Chen, Show-Lin, 1998. "Foreign exchange market efficiency revisited," Journal of International Money and Finance, Elsevier, Elsevier, vol. 17(5), pages 831-838, October.
  54. Nelson Mark, 2008. "Factor Model Forecasts of Exchange Rates," Working Papers, University of Notre Dame, Department of Economics 012, University of Notre Dame, Department of Economics, revised Jan 2012.
  55. Barbara Rossi, 2013. "Exchange Rate Predictability," Journal of Economic Literature, American Economic Association, American Economic Association, vol. 51(4), pages 1063-1119, December.
  56. Kirman, Alan & Ricciotti, Romain Fabio & Topol, Richard L On, 2007. "Bubbles In Foreign Exchange Markets," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 11(S1), pages 102-123, November.
  57. Arjun Chatrath & Youguo Liang, 1998. "REITs and Inflation: A Long-Run Perspective," Journal of Real Estate Research, American Real Estate Society, American Real Estate Society, vol. 16(3), pages 311-326.
  58. Katsumi Shimotsu & Morten Ørregaard Nielsen, 2006. "Determining the Cointegrating Rank in Nonstationary Fractional Systems by the Exact Local Whittle Approach," Working Papers, Queen's University, Department of Economics 1029, Queen's University, Department of Economics.
  59. PREMINGER, Arie & FRANCK, Raphael, . "Forecasting exchange rates: a robust regression approach," CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) -1917, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  60. Kang, Heejoon, 2008. "The cointegration relationships among G-7 foreign exchange rates," International Review of Financial Analysis, Elsevier, Elsevier, vol. 17(3), pages 446-460, June.
  61. Mun, Kyung-Chun & Morgan, George Emir, 2003. "Risk premia on foreign exchange: a direct approach," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 13(3), pages 231-250, July.
  62. 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.
  63. Ghosh, Asim, 1996. " Cross-Hedging Foreign Currency Risk: Empirical Evidence from an Error Correction Model," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 6(3), pages 223-31, May.
  64. Wilson H. S. Tong, 2001. "Cointegration, Efficiency and Forecasting in the Currency Market," Journal of Business Finance & Accounting, Wiley Blackwell, Wiley Blackwell, vol. 28(1-2), pages 127-150.
  65. Charles Engel, 1995. "The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence," NBER Working Papers 5312, National Bureau of Economic Research, Inc.
  66. Peter Sephton, 1996. "A note on fractional cointegration," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 3(10), pages 683-685.
  67. Arestis, Philip & Demetriades, Panicos O & Luintel, Kul B, 2001. "Financial Development and Economic Growth: The Role of Stock Markets," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 33(1), pages 16-41, February.
  68. Engel, Charles, 1996. "A note on cointegration and international capital market efficiency," Journal of International Money and Finance, Elsevier, Elsevier, vol. 15(4), pages 657-660, August.
  69. Montserrat Ferre & Stephen Hall, 2002. "Foreign exchange market efficiency and cointegration," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 12(2), pages 131-139.
  70. 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, Elsevier, vol. 47(2), pages 312-330, May.
  71. Baillie, R.T. & Bollerslev, T., 1993. "Cointegration, Fractional Cointegration, and Exchange RAte Dynamics," Papers, Michigan State - Econometrics and Economic Theory 9103, Michigan State - Econometrics and Economic Theory.
  72. Michael Bowe & Nikolaos Mylonidis, 1999. "Is the European Capital Market Ready for the Single Currency?," Journal of Business Finance & Accounting, Wiley Blackwell, Wiley Blackwell, vol. 26(1-2), pages 1-32.
  73. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, Elsevier, vol. 73(1), pages 5-59, July.
  74. Ciner, Cetin, 2011. "Information transmission across currency futures markets: Evidence from frequency domain tests," International Review of Financial Analysis, Elsevier, Elsevier, vol. 20(3), pages 134-139, June.
  75. Heejoon Kang, 1999. "The Applied Cointegration Analysis for the Open Economy: A Critical Review," Open Economies Review, Springer, Springer, vol. 10(3), pages 325-346, July.
  76. 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, Boston College Department of Economics 311., Boston College Department of Economics.
  77. Elyasiani, Elyas & Kocagil, Ahmet E., 2001. "Interdependence and dynamics in currency futures markets: A multivariate analysis of intraday data," Journal of Banking & Finance, Elsevier, Elsevier, vol. 25(6), pages 1161-1186, June.
  78. M. Martin Boyer & Simon van Norden, 2006. "Exchange Rates and Order Flow in the Long Run," CIRANO Working Papers, CIRANO 2006s-07, CIRANO.
  79. Jeon, Bang Nam & Seo, Byeongseon, 2003. "The impact of the Asian financial crisis on foreign exchange market efficiency: The case of East Asian countries," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 11(4), pages 509-525, September.
  80. Angela Black & David McMillan, 2004. "Long run trends and volatility spillovers in daily exchange rates," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 14(12), pages 895-907.
  81. Ronald MacDonald & Ian W. Marsh, 1997. "On Fundamentals And Exchange Rates: A Casselian Perspective," The Review of Economics and Statistics, MIT Press, MIT Press, vol. 79(4), pages 655-664, November.
  82. Derek W. Bunn & Carlo Fezzi, 2007. "Interaction of European Carbon Trading and Energy Prices," Working Papers, Fondazione Eni Enrico Mattei 2007.63, Fondazione Eni Enrico Mattei.
  83. Aggarwal, Raj & Mougoue, Mbodja, 1998. " Common Stochastic Trends among Asian Currencies: Evidence for Japan, ASEANs, and the Asian Tigers," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 10(2), pages 193-206, March.
  84. McCrae, Michael, et al, 2002. "Can Cointegration-Based Forecasting Outperform Univariate Models? An Application to Asian Exchange Rates," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 21(5), pages 355-80, August.
  85. Yilmaz, Kamil, 2003. "Martingale Property of Exchange Rates and Central Bank Interventions," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 21(3), pages 383-95, July.
  86. Alan Speight & David McMillan, 2001. "Cointegration and predictability in prereform east European black-market exchange rates," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 8(12), pages 755-759.
  87. Rapp, Tammy A. & Sharma, Subhash C., 1999. "Exchange rate market efficiency: across and within countries," Journal of Economics and Business, Elsevier, Elsevier, vol. 51(5), pages 423-439, September.
  88. Shi-Miin Liu & Chih-Hsien Chou, 2003. "Parities and Spread Trading in Gold and Silver Markets: A Fractional Cointegration Analysis," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 13(12), pages 899-911.
  89. Bahram Adrangi & Arjun Chatrath & Rohan Christie David, 2000. "Price discovery in strategically-linked markets: the case of the gold-silver spread," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 10(3), pages 227-234.
  90. Tse, Y. K. & Ng, L. K., 1997. "The cointegration of Asian currencies revisited," Japan and the World Economy, Elsevier, Elsevier, vol. 9(1), pages 109-114, March.
  91. 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, University of Goettingen, Department of Economics 68, University of Goettingen, Department of Economics.
  92. Cochran, Steven J. & DeFina, Robert H., 1996. "Predictability in real exchange rates: Evidence from parametric hazard models," International Review of Economics & Finance, Elsevier, Elsevier, vol. 5(2), pages 125-147.
  93. 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, Money Macro and Finance Research Group 19, Money Macro and Finance Research Group.
  94. Adrangi, Bahram & Chatrath, Arjun & Raffiee, Kambiz & D. Ripple, Ronald, 2001. "Alaska North Slope crude oil price and the behavior of diesel prices in California," Energy Economics, Elsevier, Elsevier, vol. 23(1), pages 29-42, January.
  95. Crowder, William J., 1996. "A note on cointegration and international capital market efficiency: A reply," Journal of International Money and Finance, Elsevier, Elsevier, vol. 15(4), pages 661-664, August.