Alexakis, P., and Apergis, N., 1996, ARCH effects and cointegration: is the foreign exchange market efficient?, Journal of Banking and Finance, 20, 687-697.  Home/Search   Document Not in Database   Summary   Related Articles   Check

....may not be independent of the weaker evidence of 3 cointegrating vectors found in Table 1 for some of these currencies. Another interpretation of the result may be the significant loss of power which may arise in unit root tests because of conditionally heteroskedastic residuals, as pointed out by Alexakis and Apergis (1996). We found evidence of GARCH(1,1) in the mean structures for the residuals from regressions in Table 4. When incorporated into the regression model, we found ADF statistics for the normalized residuals of the 6 month rate regressions on the US dollar, yen, British pound and Swiss franc, ....

Alexakis, P., and Apergis, N., 1996, ARCH effects and cointegration: is the foreign exchange market efficient?, Journal of Banking and Finance, 20, 687-697.

....is, an I(0) process. 4 The empirical evidence on the existence of cointegration between t k S and t f is decidedly mixed. Baillie and Bollerslev (1989) and Hai et al. 1997) find that t k S and t f form a cointegrated system with a unitary cointegrating vector. Evans and Lewis (1993) and Alexakis and Apergis (1996) fail to even find a long run relationship between forward and corresponding future spot rates. Ngama (1992) 2 For alternative forms of testing the FRUH and a survey of the evidence and issues involved see Baillie and McMahon (1989) and Engel (1996) 3 A series is integrated of order d , ....

Alexakis, P. and N. Apergis (1996), ARCH effects and cointegration: Is the foreign exchange market efficient?, Journal of Banking and Finance, 20, 687-697.

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