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COINTEGRATION AND ERROR CORRECTION MODELS - INTERTEMPORAL CAUSALITY BETWEEN INDEX AND FUTURES PRICES
被引:86
作者
:
GHOSH, A
论文数:
0
引用数:
0
h-index:
0
GHOSH, A
机构
:
来源
:
JOURNAL OF FUTURES MARKETS
|
1993年
/ 13卷
/ 02期
关键词
:
D O I
:
10.1002/fut.3990130206
中图分类号
:
F8 [财政、金融];
学科分类号
:
0202 ;
摘要
:
[No abstract available]
引用
收藏
页码:193 / 198
页数:6
相关论文
共 10 条
[1]
ANDERSON HM, 1990, 9024 U CAL DISC PAP
[2]
TESTING THE UNBIASED FORWARD RATE HYPOTHESIS - EVIDENCE ON UNIT ROOTS, COINTEGRATION, AND STOCHASTIC COEFFICIENTS
BARNHART, SW
论文数:
0
引用数:
0
h-index:
0
机构:
SO ILLINOIS UNIV,COLL BUSINESS & ADM,CARBONDALE,IL 62901
SO ILLINOIS UNIV,COLL BUSINESS & ADM,CARBONDALE,IL 62901
BARNHART, SW
SZAKMARY, AC
论文数:
0
引用数:
0
h-index:
0
机构:
SO ILLINOIS UNIV,COLL BUSINESS & ADM,CARBONDALE,IL 62901
SO ILLINOIS UNIV,COLL BUSINESS & ADM,CARBONDALE,IL 62901
SZAKMARY, AC
[J].
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS,
1991,
26
(02)
: 245
-
267
[3]
COINTEGRATION - SOME RESULTS ON UNITED-STATES CATTLE PRICES
BESSLER, DA
论文数:
0
引用数:
0
h-index:
0
机构:
USDA, ECON RES SERV, WASHINGTON, DC 20250 USA
USDA, ECON RES SERV, WASHINGTON, DC 20250 USA
BESSLER, DA
COVEY, T
论文数:
0
引用数:
0
h-index:
0
机构:
USDA, ECON RES SERV, WASHINGTON, DC 20250 USA
USDA, ECON RES SERV, WASHINGTON, DC 20250 USA
COVEY, T
[J].
JOURNAL OF FUTURES MARKETS,
1991,
11
(04)
: 461
-
474
[4]
FUTURES MARKET-EFFICIENCY - EVIDENCE FROM COINTEGRATION TESTS
CHOWDHURY, AR
论文数:
0
引用数:
0
h-index:
0
CHOWDHURY, AR
[J].
JOURNAL OF FUTURES MARKETS,
1991,
11
(05)
: 577
-
589
[5]
COPELAND LS, 1991, OXFORD B ECON STAT, V53, P185
[6]
LIKELIHOOD RATIO STATISTICS FOR AUTOREGRESSIVE TIME-SERIES WITH A UNIT-ROOT
DICKEY, DA
论文数:
0
引用数:
0
h-index:
0
机构:
IOWA STATE UNIV SCI & TECHNOL, AMES, IA 50011 USA
IOWA STATE UNIV SCI & TECHNOL, AMES, IA 50011 USA
DICKEY, DA
FULLER, WA
论文数:
0
引用数:
0
h-index:
0
机构:
IOWA STATE UNIV SCI & TECHNOL, AMES, IA 50011 USA
IOWA STATE UNIV SCI & TECHNOL, AMES, IA 50011 USA
FULLER, WA
[J].
ECONOMETRICA,
1981,
49
(04)
: 1057
-
1072
[7]
DISTRIBUTION OF THE ESTIMATORS FOR AUTOREGRESSIVE TIME-SERIES WITH A UNIT ROOT
DICKEY, DA
论文数:
0
引用数:
0
h-index:
0
机构:
IOWA STATE UNIV SCI & TECHNOL, AMES, IA 50011 USA
DICKEY, DA
FULLER, WA
论文数:
0
引用数:
0
h-index:
0
机构:
IOWA STATE UNIV SCI & TECHNOL, AMES, IA 50011 USA
FULLER, WA
[J].
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION,
1979,
74
(366)
: 427
-
431
[8]
COINTEGRATION AND ERROR CORRECTION - REPRESENTATION, ESTIMATION, AND TESTING
ENGLE, RF
论文数:
0
引用数:
0
h-index:
0
ENGLE, RF
GRANGER, CWJ
论文数:
0
引用数:
0
h-index:
0
GRANGER, CWJ
[J].
ECONOMETRICA,
1987,
55
(02)
: 251
-
276
[9]
SOME PROPERTIES OF TIME-SERIES DATA AND THEIR USE IN ECONOMETRIC-MODEL SPECIFICATION
GRANGER, CWJ
论文数:
0
引用数:
0
h-index:
0
GRANGER, CWJ
[J].
JOURNAL OF ECONOMETRICS,
1981,
16
(01)
: 121
-
130
[10]
MACKINNON JG, 1990, MODELLING LONG RUN E
←
1
→
共 10 条
[1]
ANDERSON HM, 1990, 9024 U CAL DISC PAP
[2]
TESTING THE UNBIASED FORWARD RATE HYPOTHESIS - EVIDENCE ON UNIT ROOTS, COINTEGRATION, AND STOCHASTIC COEFFICIENTS
BARNHART, SW
论文数:
0
引用数:
0
h-index:
0
机构:
SO ILLINOIS UNIV,COLL BUSINESS & ADM,CARBONDALE,IL 62901
SO ILLINOIS UNIV,COLL BUSINESS & ADM,CARBONDALE,IL 62901
BARNHART, SW
SZAKMARY, AC
论文数:
0
引用数:
0
h-index:
0
机构:
SO ILLINOIS UNIV,COLL BUSINESS & ADM,CARBONDALE,IL 62901
SO ILLINOIS UNIV,COLL BUSINESS & ADM,CARBONDALE,IL 62901
SZAKMARY, AC
[J].
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS,
1991,
26
(02)
: 245
-
267
[3]
COINTEGRATION - SOME RESULTS ON UNITED-STATES CATTLE PRICES
BESSLER, DA
论文数:
0
引用数:
0
h-index:
0
机构:
USDA, ECON RES SERV, WASHINGTON, DC 20250 USA
USDA, ECON RES SERV, WASHINGTON, DC 20250 USA
BESSLER, DA
COVEY, T
论文数:
0
引用数:
0
h-index:
0
机构:
USDA, ECON RES SERV, WASHINGTON, DC 20250 USA
USDA, ECON RES SERV, WASHINGTON, DC 20250 USA
COVEY, T
[J].
JOURNAL OF FUTURES MARKETS,
1991,
11
(04)
: 461
-
474
[4]
FUTURES MARKET-EFFICIENCY - EVIDENCE FROM COINTEGRATION TESTS
CHOWDHURY, AR
论文数:
0
引用数:
0
h-index:
0
CHOWDHURY, AR
[J].
JOURNAL OF FUTURES MARKETS,
1991,
11
(05)
: 577
-
589
[5]
COPELAND LS, 1991, OXFORD B ECON STAT, V53, P185
[6]
LIKELIHOOD RATIO STATISTICS FOR AUTOREGRESSIVE TIME-SERIES WITH A UNIT-ROOT
DICKEY, DA
论文数:
0
引用数:
0
h-index:
0
机构:
IOWA STATE UNIV SCI & TECHNOL, AMES, IA 50011 USA
IOWA STATE UNIV SCI & TECHNOL, AMES, IA 50011 USA
DICKEY, DA
FULLER, WA
论文数:
0
引用数:
0
h-index:
0
机构:
IOWA STATE UNIV SCI & TECHNOL, AMES, IA 50011 USA
IOWA STATE UNIV SCI & TECHNOL, AMES, IA 50011 USA
FULLER, WA
[J].
ECONOMETRICA,
1981,
49
(04)
: 1057
-
1072
[7]
DISTRIBUTION OF THE ESTIMATORS FOR AUTOREGRESSIVE TIME-SERIES WITH A UNIT ROOT
DICKEY, DA
论文数:
0
引用数:
0
h-index:
0
机构:
IOWA STATE UNIV SCI & TECHNOL, AMES, IA 50011 USA
DICKEY, DA
FULLER, WA
论文数:
0
引用数:
0
h-index:
0
机构:
IOWA STATE UNIV SCI & TECHNOL, AMES, IA 50011 USA
FULLER, WA
[J].
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION,
1979,
74
(366)
: 427
-
431
[8]
COINTEGRATION AND ERROR CORRECTION - REPRESENTATION, ESTIMATION, AND TESTING
ENGLE, RF
论文数:
0
引用数:
0
h-index:
0
ENGLE, RF
GRANGER, CWJ
论文数:
0
引用数:
0
h-index:
0
GRANGER, CWJ
[J].
ECONOMETRICA,
1987,
55
(02)
: 251
-
276
[9]
SOME PROPERTIES OF TIME-SERIES DATA AND THEIR USE IN ECONOMETRIC-MODEL SPECIFICATION
GRANGER, CWJ
论文数:
0
引用数:
0
h-index:
0
GRANGER, CWJ
[J].
JOURNAL OF ECONOMETRICS,
1981,
16
(01)
: 121
-
130
[10]
MACKINNON JG, 1990, MODELLING LONG RUN E
←
1
→