An error-correction model for forecasting changes in foreign currency futures spreads
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References listed on IDEAS
- Sequeira, John M. & McAleer, Michael & Chow, Ying-Foon, 1999. "Estimation of alternative pricing models for currency futures contracts," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 48(4), pages 519-530.
- Lance J. Bachmeier & James M. Griffin, 2006. "Testing for Market Integration: Crude Oil, Coal, and Natural Gas," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2), pages 55-72.
- MacKinnon, James G, 1996.
"Numerical Distribution Functions for Unit Root and Cointegration Tests,"
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John Wiley & Sons, Ltd., vol. 11(6), pages 601-618, Nov.-Dec..
- James G. MacKinnon, 1995. "Numerical Distribution Functions for Unit Root and Cointegration Tests," Working Papers 918, Queen's University, Department of Economics.
- MacKinnon, James G., 1995. "Numerical Distribution Functions for Unit Root and Cointegration Tests," Queen's Economics Department Working Papers 273322, Queen's University - Department of Economics.
- Lanza, Alessandro & Manera, Matteo & Giovannini, Massimo, 2005. "Modeling and forecasting cointegrated relationships among heavy oil and product prices," Energy Economics, Elsevier, vol. 27(6), pages 831-848, November.
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