Market efficiency and cointegration
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- HeeJoon Kang, 1992. "Forward exchange rates as unbiased predictors of future spot rates a review and re-interpretation," Open Economies Review, Springer, vol. 3(2), pages 215-232, June.
- Eric Zivot, 1998. "Cointegration and Forward and Spot Exchange Rate Regressions," Econometrics 9812001, University Library of Munich, Germany.
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"A "hipótese das expectativas racionais": teoria e realidade (uma visita guiada à literatura até 1992)
[The "rational expectations hypothesis": theory and reality (a guided tour ," MPRA Paper 9699, University Library of Munich, Germany, revised 23 Jul 2008.
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- Baffes, John & Haniotis, Tassos, 2010. "Placing the 2006/08 commodity price boom into perspective," Policy Research Working Paper Series 5371, The World Bank.
- Cem Kadilar & Muammer Simsek & Cagdas Hakan Aladag, 2009. "Forecasting The Exchange Rate Series With Ann: The Case Of Turkey," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 9(1), pages 17-29, May.
- Haitham A. Al-Zoubi & Dana A. Al-Zoubi & Aktham I. Maghyereh, 2006. "A nonparametric cointegration analysis of the forward rate unbiasedness hypothesis," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(4), pages 223-227, July.
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- John Barkoulas & Christopher Baum, 1997.
"A re-examination of the fragility of evidence from cointegration-based tests of foreign exchange market efficiency,"
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- 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 311., Boston College Department of Economics.
- Guneratne Banda Wickremasinghe, 2004. "Efficiency Of Foreign Exchange Markets: A Developing Country Perspective," International Finance 0406004, University Library of Munich, Germany.
- J. Sa-Aadu & James Shilling & George Wang, 2000. "A Test of Integration and Cointegration of Commercial Mortgage Rates," Journal of Financial Services Research, Springer;Western Finance Association, vol. 18(1), pages 45-61, October.
- Guneratne Banda Wickremasinghe, 2004. "Efficiency of the Foreign Exchange Market of Papua New Guinea During the Recent Float," International Trade 0406007, University Library of Munich, Germany.
- Dimitris Kenourgios & Aristeidis Samitas, 2005. "Testing Efficiency Of The Copper Futures Market: New Evidence From London Metal Exchange," Finance 0512010, University Library of Munich, Germany.
More about this item
KeywordsForeign exchange rates; Foreign exchange futures;
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