✦ LIBER ✦

Re-examining Cointegration, Unit Roots and Efficiency in Foreign Exchange Rates

✍ Scribed by John P. Lajaunie; Atsuyuki Naka

Book ID: 108567654
Publisher: John Wiley and Sons
Year: 1997
Tongue: English
Weight: 143 KB
Volume: 24
Category: Article
ISSN: 0306-686X
DOI: 10.1111/1468-5957.00109

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

The Polish exchange rate system: A unit

The Polish exchange rate system: A unit root and cointegration analysis

✍ Carsten Trenkler 📂 Article 📅 2003 🏛 Springer-Verlag 🌐 English ⚖ 369 KB

Market Efficiency and Apparent Unit Root

Market Efficiency and Apparent Unit Roots: An Application to Exchange Rates

✍ MICHAEL BLEANEY 📂 Article 📅 1998 🏛 John Wiley and Sons 🌐 English ⚖ 430 KB

Firm–Specific Assets and the Link betwee

Firm–Specific Assets and the Link between Exchange Rates and Japanese Foreign Direct Investment in the United States: A Re–examination

✍ Jie Q. Guo; Pravin K. Trivedi 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 154 KB

Uncovered interest parity and the effici

Uncovered interest parity and the efficiency of the foreign exchange market: a re-examination of the evidence

✍ Jose Olmo; Keith Pilbeam 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 228 KB

In this paper, we find that the traditional approach to testing UIP is misleading because of the significant difference in volatility between the change in the log of the exchange rates and the forward premium, and also because of the presence of conditional heteroskedasticity in the data. This diff

A Re-examination of the Balassa–Samuelso

A Re-examination of the Balassa–Samuelson Hypothesis Using Recent Panel Data Unit-Root and Cointegration Tests: Evidence from MENA Countries

✍ Imed Drine; Christophe Rault 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 163 KB

Trade Balance and Exchange Rate: Unit Ro

Trade Balance and Exchange Rate: Unit Roots, Co-integration and Long Memory in the US and the UK

✍ Luis A. Gil-Alana; Natalia Luqui; Juncal Cunado 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 273 KB