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Further Evidence on Foreign Exchange Market Efficiency: An Application of Cointegration Tests

โœ Scribed by John P. Lajaunie; Bruce L. McManis; Atsuyuki Naka

Book ID
114758820
Publisher
John Wiley and Sons
Year
1996
Tongue
English
Weight
493 KB
Volume
31
Category
Article
ISSN
0732-8516

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The paper reports simulation and empirical evidence on the ยฎnite-sample performance of adaptive estimators in cointegrated systems. Adaptive estimators are asymptotically ecient, even when the shape of the likelihood function is unknown. We consider two representations of cointegrated systems ร tria