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A reconciliation of cointegration testing of foreign exchange market efficiency
Layton, Allan P. - 1991
Persistent link: https://www.econbiz.de/10000129803
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The micro dynamics of macro announcements
Mittnik, Stefan; Robinzonov, Nikolay; Wohlrabe, Klaus - 2013
We examine how regularly scheduled macroeconomic announcements for the U.S., Germany and the euro area affect the German stock market, using high-frequency, minute-by-minute DAX data. Our study extends the literature on high-frequency announcement effects in several ways. First, we account for...
Persistent link: https://www.econbiz.de/10010190208
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Non-parametric estimates of the foreign exchange and equity risk premia and tests of market efficiency
Wickens, Michael R.; Thomas, Stephen - 1989
Persistent link: https://www.econbiz.de/10000779308
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Investigating the robustness of tests of the market efficiency hypothesis : contributions from cointegration techniques on the Canadian floating dollar
Masih, Abdul Mansur M. - In: Applied financial economics 5 (1995) 3, pp. 139-150
Persistent link: https://www.econbiz.de/10001185273
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ARCH effects and cointegration : is the foreign exchange market efficient?
Alexakis, Panayotis - In: Journal of banking & finance 20 (1996) 4, pp. 687-697
Persistent link: https://www.econbiz.de/10001197705
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On the robustness of cointegration tests of the market efficiency hypothesis : evidence from six European foreign exchange markets
Masih, Abdul Mansur M. - In: Economia internazionale 47 (1994) 2, pp. 160-180
Persistent link: https://www.econbiz.de/10001175913
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Covariance matrix estimators and tests of market efficiency
Ligeralde, Antonio Velasco - In: Journal of international money and finance 16 (1997) 2, pp. 323-343
Persistent link: https://www.econbiz.de/10001225587
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Non-parametric estimates of the foreign exchange risk premium and tests of exchange market efficiency
Wickens, Michael; Thomas, Stephen - 1991
Persistent link: https://www.econbiz.de/10000130908
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Is USD-INR really an excessively volatile currency pair?
Kayal, Parthajit; Maheswaran, S. - In: Journal of quantitative economics 15 (2017) 2, pp. 329-342
Persistent link: https://www.econbiz.de/10012418291