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Short-term eurocurrency rate behavior and specifications of cointegrating processes

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  • Chiang, Thomas C.
  • Kim, Doseong

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  • Chiang, Thomas C. & Kim, Doseong, 2000. "Short-term eurocurrency rate behavior and specifications of cointegrating processes," International Review of Economics & Finance, Elsevier, vol. 9(2), pages 157-179.
    • Handle: RePEc:eee:reveco:v:9:y:2000:i:2:p:157-179
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    2. Bradley, Michael G. & Lumpkin, Stephen A., 1992. "The Treasury Yield Curve as a Cointegrated System," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(3), pages 449-463, September.
    3. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    4. Seungmook Choi & Mark E. Wohar, 1991. "New Evidence Concerning The Expectations Theory For The Short End Of The Maturity Spectrum," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 14(1), pages 83-92, March.
    5. Arshanapalli, Bala & Doukas, John, 1994. "Common stochastic trends in a system of Eurocurrency rates," Journal of Banking & Finance, Elsevier, vol. 18(6), pages 1047-1061, December.
    6. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    7. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
    8. Paul Boothe, 1991. "Interest Parity, Cointegration, and the Term Structure in Canada and the United States," Canadian Journal of Economics, Canadian Economics Association, vol. 24(3), pages 595-603, August.
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    14. Razzaque Bhatti & Imad Moosa, 1995. "An alternative approach to testing uncovered interest parity," Applied Economics Letters, Taylor & Francis Journals, vol. 2(12), pages 478-481.
    15. Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-472, August.
    16. Muscatelli, Vito Antonio & Hurn, A Stan, 1992. "Cointegration and Dynamic Time Series Models," Journal of Economic Surveys, Wiley Blackwell, vol. 6(1), pages 1-43.
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    Cited by:

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    2. Ciner, Cetin, 2011. "Eurocurrency interest rate linkages: A frequency domain analysis," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 498-505, October.

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