Ngama, Y. (1992), Testing the efficiency of thin forward exchange markets: An application of instrumental variable multiple regression with integrated I(1) variables, Manchester School of Economics and Social Studies, 60, 169-180.  Home/Search   Document Not in Database   Summary   Related Articles

....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 , denoted by Id ( if it is rendered stationary after differencing it d times. 4 Strictly speaking, the FRUH ....

Ngama, Y. (1992), Testing the efficiency of thin forward exchange markets: An application of instrumental variable multiple regression with integrated I(1) variables, Manchester School of Economics and Social Studies, 60, 169-180.

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