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Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2013

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Stock prices and the efficient market hypothesis : evidence from a panel stationary test with structural breaks

Lee, Chien-chiang; Lee, Jun-de; Lee, Chi-chuan - In: Japan and the world economy : international journal of … 22 (2010) 1, pp. 49-58

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Testing for the efficient market hypothesis in stock prices : international evidence from nonlinear heterogeneous panels

Lee, Chien-chiang; Tsong, Ching-chuan; Lee, Cheng-feng - In: Macroeconomic dynamics 18 (2014) 4, pp. 943-958

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The prices of silver and exchange rates in a metallic monetary system : the cases of India and Iran

Hasan, Mohammed S. - In: Empirical economics : a journal of the Institute for … 31 (2006) 1, pp. 195-206

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Cointegration in the foreign exchange market and market efficiency since the introduction of the euro : evidence based on bivariate cointegration analyses

Kühl, Michael (contributor) - 2007

the Euro by applying the cointegration analysis to exchange rates. The introduction of the Euro has changed the structure … the introduction of a new currency has resulted in inefficient markets, a bivariate cointegration analysis should be … adjustment to the long-run equilibrium. -- foreign exchange market ; market efficiency ; cointegration …

Persistent link: https://www.econbiz.de/10003582754

Foreign exchange market efficiency : fractional cointegration approach

Belkacem, Lotfi; Meddeb, Zahra el; Boubaker, Heni - In: International journal of business 10 (2005) 3, pp. 285-302

Persistent link: https://www.econbiz.de/10003176641

Threshold cointegration and threshold dynamics

Chung, Pin Johnny - 2003

Persistent link: https://www.econbiz.de/10003384124

Fractional cointegration and tests of present value models

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000

the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Monte Carlo simulations … (EMH) ; Present Value (PV) models ; fractional cointegration …

Persistent link: https://www.econbiz.de/10009582383

Cointegration and Tests of Present Value Models

Campbell, John Y. - 1986

In a model where a variable Y[sub t] is proportional to the present value, with constant discount rate, of expected future values of a variable y[sub t] the "spread" S[sub t]= Y[sub t] - [theta sub t] will be stationary for some [theta] whether or not y[sub t]must be differenced to induce...

Persistent link: https://www.econbiz.de/10012477190

The behaviour of betting and currency markets on the night of the EU referendum

Auld, Tom; Linton, Oliver - 2018

Persistent link: https://www.econbiz.de/10012583380