The behavior of Swedish stock returns over short and long run horizons is analyzed. Using monthly data from 1919 to 1995 and, weekly and daily data for the 1980s and first part of the 1990s we hardly found any evidence of long run dependence. Using three different tests that are robust to short...

This paper applies the maximum likelihood panel co-integration method of Larsson and Lyhagen (2007) to test the strong PPP hypothesis using data for the G7 countries. This method is robust in several important dimensions relative to previous methods, including the well-known issue of...