COINTEGRATION AND TESTS OF PRESENT VALUE MODELS

被引：921

作者：

CAMPBELL, JY ^{[1
]}

SHILLER, RJ ^{[1
]}

机构：

[1] YALE UNIV,NEW HAVEN,CT 06520

来源：

JOURNAL OF POLITICAL ECONOMY | 1987年 / 95卷 / 05期

关键词：

D O I：

10.1086/261502

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

引用

页码：1062 / 1088

页数：27

共 41 条

[1] TESTING RATIONAL-EXPECTATIONS AND EFFICIENCY IN THE FOREIGN-EXCHANGE MARKET [J].

BAILLIE, RT ;

LIPPENS, RE ;

MCMAHON, PC .

ECONOMETRICA, 1983, 51 (03) :553-563

[2]

CAMPBELL JY, 1984, AM ECON REV, V74, P44

[3]

CAMPBELL JY, 1986, NBER2100 WORK PAP

[4]

CAMPBELL JY, 1987, IN PRESS ECONOMETRIC

[5]

COWLES A, 1939, COMMON STOCK INDEXES

[6]

DIBA BT, 1984, NBER1300 WORK PAP

[7] LIKELIHOOD RATIO STATISTICS FOR AUTOREGRESSIVE TIME-SERIES WITH A UNIT-ROOT [J].

DICKEY, DA ;

FULLER, WA .

ECONOMETRICA, 1981, 49 (04) :1057-1072

[8] COINTEGRATION AND ERROR CORRECTION - REPRESENTATION, ESTIMATION, AND TESTING [J].

ENGLE, RF ;

GRANGER, CWJ .

ECONOMETRICA, 1987, 55 (02) :251-276

[9]

ENGLE RF, 1985, AUG WORLD C EC SOC C

[10] EFFICIENT CAPITAL MARKETS - REVIEW OF THEORY AND EMPIRICAL WORK [J].

FAMA, EF .

JOURNAL OF FINANCE, 1970, 25 (02) :383-423

← 1 2 3 4 5 →