This paper investigates the efficiency of Australian options markets using a version of the Black-Scholes model. Under the joint null hypothesis that the pricing model is valid, and that forecasts are efficient, the implied volatilities calculated from observed option prices should be efficient...

This article suggests the use of simple minimum-distance methods to estimate restricted cointegrating vectors. The method directly employs minimum-distance methods on unrestricted cointegrating matrices estimated in the usual way to estimate restricted parameters that are linearly or nonlinearly...

This paper identifies two major sets of issues which have been raised in the study of financial futures markets outside Australia. The first concerns the hypothesis of market efficiency, which asserts that futures prices fully reflect available information about subsequent prices in the physical...

This paper utilizes daily data from the period of the 'clean' float of the Australian dollar to consider the relationship between two key Australian short-term interest rates: the official and the unofficial overnight cash rates. There is a stable long-run differential of one percent between the...

This paper investigates the efficiency of Australian options market using a version of the Black-Scholes model. Under the joint null hypothesis that the pricing model is valid, and that forecasts are efficient, the implied volatilities calculated from observed.option prices should be efficient...

The asymptotic power envelope is derived for point-optimal tests of a unit root in the autoregressive representation of a Gaussian time series. The authors propose a family of tests whose asymptotic power functions are tangent to the power envelope at one point and are never far below. When the...