𝔖 Bobbio Scriptorium
✦   LIBER   ✦

MULTIVARIATE COINTEGRATION TESTING OF THE EFFICIENCY OF AUSTRALIA'S SPOT FOREX MARKET

✍ Scribed by Allan P. Layton; Amirullah Tan

Book ID
110936409
Publisher
John Wiley and Sons
Year
1992
Tongue
English
Weight
1021 KB
Volume
32
Category
Article
ISSN
0810-5391

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Many researchers have found that spot and futures prices are not cointegrated in some commodity markets, or they are cointegrated but not with a cointegrating vector (1, ‫.)1Χžβ€¬ One interpretation is that disturbances to excess returns have a unit root persistence, which implies that spot and futures