Luintel, K. B. and K. Paudyal (1998), Common stochastic trends between forward and spot exchange rates, Journal of International Money and Finance, 17, 279-297. Home/Search Document Not in Database Summary Related Articles Check |
This paper is cited in the following contexts:
FORWARD PREMIUMS AND MARKET EFFICIENCY: Panel Unit-root.. - Barkoulas, Baum, al. (Correct)
....the stochastic properties of the forward premium series is decidedly mixed. Using daily data for four currencies, Crowder (1992) finds that forward premium series are nonstationary processes. Crowder (1994) confirms such unit root evidence for monthly forward premium series for three currencies. Luintel and Paudyal (1998) also find forward premium series at the daily frequency for five currencies to be realizations of unit root processes. Horvath and Watson (1995) and Clarida and Taylor (1997) reach the opposite conclusion that forward premiums are stationary processes. Baillie and Bollerslev (1994b) report that ....
Luintel, K. B. and K. Paudyal (1998), Common stochastic trends between forward and spot exchange rates, Journal of International Money and Finance, 17, 279-297.
The Forward Rate Unbiasedness Hypothesis Reexamined.. - Delcoure, Barkoulas, al. (Correct)
....horizon. Evans and Lewis (1995) find evidence of cointegration between t k S and t f but they reject the null of a unitary cointegrating vector. 5 Through comprehensive testing among alternative VAR specifications with respect to treatment of the constant term and lag length structures, Luintel and Paudyal (1998) find robust evidence of cointegration between t k S and t f but they reject the unitary cointegrating vector in the t k S , t f ( cointegrating relation. Copeland (1991) and Lai and Lai (1991) reject the joint null of 0 = 0 and 1 = 1 in (4) in a cointegration analysis. In this ....
Luintel, K. B. and K. Paudyal (1998), Common stochastic trends between forward and spot exchange rates, Journal of International Money and Finance, 17, 279-297.
Online articles have much greater impact More about CiteSeer.IST Add search form to your site Submit documents Feedback
CiteSeer.IST - Copyright Penn State and NEC