A COINTEGRATION TEST FOR OIL FUTURES MARKET-EFFICIENCY

[1] NESTED REDUCED-RANK AUTOREGRESSIVE MODELS FOR MULTIPLE TIME-SERIES [J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1988, 83 (403) : 849 - 856

[2] BIVARIATE GARCH ESTIMATION OF THE OPTIMAL COMMODITY FUTURES HEDGE [J]. JOURNAL OF APPLIED ECONOMETRICS, 1991, 6 (02) : 109 - 124

[3] BANERJEE A, 1986, OXFORD B ECON STAT, V48, P253

[4] THE SPECULATIVE EFFICIENCY HYPOTHESIS [J]. JOURNAL OF BUSINESS, 1981, 54 (03) : 435 - 451

[5] BRENNER RJ, 1992, ARBITRAGE COINTEGRAT

[6] FUTURES MARKET-EFFICIENCY - EVIDENCE FROM COINTEGRATION TESTS [J]. JOURNAL OF FUTURES MARKETS, 1991, 11 (05) : 577 - 589

[7] DISTRIBUTION OF THE ESTIMATORS FOR AUTOREGRESSIVE TIME-SERIES WITH A UNIT ROOT [J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1979, 74 (366) : 427 - 431

[8] COINTEGRATION AND MARKET-EFFICIENCY [J]. JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 1992, 11 (04) : 318 - 327

[9] ENGLE RF, 1987, ECONOMETRICA, V50, P987

[10] Garbade K., 1982, SECURITIES MARKETS

[1] NESTED REDUCED-RANK AUTOREGRESSIVE MODELS FOR MULTIPLE TIME-SERIES [J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1988, 83 (403) : 849 - 856

[2] BIVARIATE GARCH ESTIMATION OF THE OPTIMAL COMMODITY FUTURES HEDGE [J]. JOURNAL OF APPLIED ECONOMETRICS, 1991, 6 (02) : 109 - 124

[3] BANERJEE A, 1986, OXFORD B ECON STAT, V48, P253

[4] THE SPECULATIVE EFFICIENCY HYPOTHESIS [J]. JOURNAL OF BUSINESS, 1981, 54 (03) : 435 - 451

[5] BRENNER RJ, 1992, ARBITRAGE COINTEGRAT

[6] FUTURES MARKET-EFFICIENCY - EVIDENCE FROM COINTEGRATION TESTS [J]. JOURNAL OF FUTURES MARKETS, 1991, 11 (05) : 577 - 589

[7] DISTRIBUTION OF THE ESTIMATORS FOR AUTOREGRESSIVE TIME-SERIES WITH A UNIT ROOT [J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1979, 74 (366) : 427 - 431

[8] COINTEGRATION AND MARKET-EFFICIENCY [J]. JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 1992, 11 (04) : 318 - 327

[9] ENGLE RF, 1987, ECONOMETRICA, V50, P987

[10] Garbade K., 1982, SECURITIES MARKETS