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Econometric Tests Of Rationality And Market Efficiency

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  • BAILLIE, R.T.

Abstract

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Suggested Citation

  • Baillie, R.T., 1988. "Econometric Tests Of Rationality And Market Efficiency," Papers 8805, Michigan State - Econometrics and Economic Theory.
  • Handle: RePEc:fth:mistet:8805
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    Citations

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    Cited by:

    1. Eric Zivot, 1998. "Cointegration and Forward and Spot Exchange Rate Regressions," Econometrics 9812001, EconWPA.
    2. Dimitris Kenourgios, 2005. "Testing Efficiency And The Unbiasedness Hypothesis Of The Emerging Greek Futures Market," Finance 0512015, EconWPA.
    3. Blix, Mårten, 1997. "Rational Expectations in a VAR with Markov Switching," Seminar Papers 627, Stockholm University, Institute for International Economic Studies.
    4. Napolitano, Oreste, 2000. "The efficiency hypothesis and the role of 'news' in the Euro/British pound exchange rate market: an empirical analysis using daily data," ISER Working Paper Series 2000-30, Institute for Social and Economic Research.
    5. Søren Johansen & Anders Rygh Swensen, 2003. "More on Testing Exact Rational Expectations in Cointegrated Vector Autoregressive Models: Restricted Drift Terms," Discussion Papers 348, Statistics Norway, Research Department.
    6. Stephen Hall & Anna Zelweska-Mitura, "undated". "Modelling Emerging Financial Markets and their Approach to Market Efficiency," Computing in Economics and Finance 1996 _066, Society for Computational Economics.
    7. Pinar Ozlu, 2006. "Risk Premium and Central Bank Intervention," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 6(1), pages 65-79.

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    Keywords

    econometrics ; market ; efficiency;

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