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Are there rational bubbles in foreign exchange markets? Evidence from an alternative test

  • Wu, Yangru

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File URL: http://www.sciencedirect.com/science/article/B6V9S-3Y45TMM-1D/2/771095a4388635933e34d115d6c29041
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Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 14 (1995)
Issue (Month): 1 (February)
Pages: 27-46

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Handle: RePEc:eee:jimfin:v:14:y:1995:i:1:p:27-46
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30443

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  1. Burmeister, Edwin & Wall, Kent D., 1982. "Kalman filtering estimation of unobserved rational expectations with an application to the German hyperinflation," Journal of Econometrics, Elsevier, vol. 20(2), pages 255-284, November.
  2. Woo, Wing Thye, 1987. "Some Evidence of Speculative Bubbles in the Foreign Exchange Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 19(4), pages 499-514, November.
  3. Richard Meese & Kenneth Rogoff, 1983. "The Out-of-Sample Failure of Empirical Exchange Rate Models: Sampling Error or Misspecification?," NBER Chapters, in: Exchange Rates and International Macroeconomics, pages 67-112 National Bureau of Economic Research, Inc.
  4. Hamilton, James D., 1986. "A standard error for the estimated state vector of a state-space model," Journal of Econometrics, Elsevier, vol. 33(3), pages 387-397, December.
  5. Robert F. Engle, 1978. "Estimating Structural Models of Seasonality," NBER Chapters, in: Seasonal Analysis of Economic Time Series, pages 281-308 National Bureau of Economic Research, Inc.
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