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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

New panel unit root tests of PPP

Coakley, Jerry - In: Economics letters 57 (1997) 1, pp. 17-22

Persistent link: https://www.econbiz.de/10001229597

Forward market efficiency and foreign exchange rate determination

Lin, Jigeng - 1994

Persistent link: https://www.econbiz.de/10000916156

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

Simple vs generalized interest rate and purchasing power parity models of exchange rates

Zhou, Su - In: The quarterly review of economics and finance : journal … 36 (1996) 2, pp. 197-218

Persistent link: https://www.econbiz.de/10001209283

Noise trading, central bank interventions, and the informational content of foreign currency options

Pierdzioch, Christian - 2001

Persistent link: https://www.econbiz.de/10001626608

Noise traders' trigger rates, FX options, and smiles

Pierdzioch, Christian - 2000

Persistent link: https://www.econbiz.de/10013261076

Noise traders' trigger rates, FX options, and smiles

Pierdzioch, Christian - 2000

A contingent claims valuation model which allows to highlight the implications of program trading in spot markets for the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts is devoloped. The curvature of the volatility strike...

Persistent link: https://www.econbiz.de/10011476532

A nonparametric test for I(0)

Lobato, Ignacio N. - In: The review of economic studies 65 (1998) 3, pp. 475-495

Persistent link: https://www.econbiz.de/10001244372

On seasonal cycles, unit roots, and mean shifts

Franses, Philip Hans - In: The review of economics and statistics 80 (1998) 2, pp. 231-245

Persistent link: https://www.econbiz.de/10001240839