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Vector Autoregressive Tests of Uncovered Interest Rate Parity with Allowance for Conditional Heteroscedasticity

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  • Taylor, Mark P

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  • Taylor, Mark P, 1989. "Vector Autoregressive Tests of Uncovered Interest Rate Parity with Allowance for Conditional Heteroscedasticity," Scottish Journal of Political Economy, Scottish Economic Society, vol. 36(3), pages 238-252, August.
    • Handle: RePEc:bla:scotjp:v:36:y:1989:i:3:p:238-52
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    Cited by:

    1. Imad Moosa & Razzaque Bhatti, 1997. "Are Asian Markets Integrated? Evidence for Six Countries Vis-A-Vis Japan," International Economic Journal, Taylor & Francis Journals, vol. 11(1), pages 51-67.
    2. Drakos, Konstantinos, 2003. "The term structure of deviations from the interest parity," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(1), pages 57-67, February.
    3. Huang, Tai-Hsin & Shen, Chung-Hua, 2002. "Seasonal cointegration and cross-equation restrictions on a forward-looking buffer stock model of money demand," Journal of Econometrics, Elsevier, vol. 111(1), pages 11-46, November.
    4. Ferreira, Paulo & Kristoufek, Ladislav, 2020. "Uncovered interest rate parity through the lens of fractal methods: Evidence from the European Union," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 553(C).
    5. Shen Chung-Hua, 1998. "The Term Structure of Taiwan Money Market Rates And Rational Expectation," International Economic Journal, Taylor & Francis Journals, vol. 12(1), pages 105-119.

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