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題名:Testing the Efficiency of the Foreign Exchange Market When the Base Currency is Pegged to a Basket
書刊名:中國財務學刊
作者:Moosa,Imad A.Al-Loughani,Nabeel E.
出版日期:1996
卷期:4:1
頁次:頁1-21
主題關鍵詞:市場效率性不偏性共整合匯率協定Market efficiencyUnbiasednessCointegrationExchange rate arrangements
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:105
期刊論文
1.Coleman, M.(1990)。Cointegration-based Tests of Daily Foreign Exchange Market Efficiency。Economics Letters,32,53-59。  new window
2.Hakkio, Craig S.、Rush, Mark(1989)。Market Efficiency and Cointegration: An Application to the Sterling and Deutschemark Exchange Markets。Journal of International Money and Finance,8(1),75-88。  new window
3.Copeland, L. S.(1991)。Cointegration Tests with Daily Exchange Rate Data。Oxford Bulletin of Economics and Statistics,53,185-198。  new window
4.Granger, C. W. J.(1986)。Developments in the study of cointegrated economic variables。Oxford Bulletin of Economics and Statistics,48,213-228。  new window
5.Lai, K. S.、Lai, M.(1991)。A Cointegration Test for Market Efficiency。Journal of Futures Markets,11,567-575。  new window
6.Banerjee, A.、Dolado, J.、Hendry, D. F.、Smith, G. W.(1986)。Exploring Equilibrium Relationships in Econometrics Through Static Models: Some Monte carlo Evidence。Oxford Bulletin of Economics and Statistics,48,253-277。  new window
7.Booth, G. G.、Mustafa, C.(1991)。Long-Run Dynamics of Black and Official Exchange Rates。Journal of International Money and Finance,10,293-405。  new window
8.Cifarelli, G.(1992)。Exchange Rate Market Efficiency Tests and Cointegration Analysis。Economia Internazionale,45,197-208。  new window
9.Copeland, L. S.(1993)。Efficiency of the Forward Market Day by Day and Month by Month。Applied Financial Economics,3,79-87。  new window
10.Corbae, D.、Lim, K.、Ouliaris, S.(1992)。On Cointegration and Tests of Forward Market Unbiasedness。Review of Economics and Statistics,74,728-732。  new window
11.Dwyer, G. P. Jr.、Wallace, M. S.(1992)。Cointegration and Market Efficiency。Journal of International Money and Finance,11,318-327。  new window
12.Hall, S. G.(1991)。An Application of the Stochastic GARCH-in-Mean Model to Risk Premia in the London Metal Exchange。The Manchester School of Economic and Social Studies,59,57-71。  new window
13.Ljung, G. M.、Box, G. E. P.(1978)。On Measure of Lack of Fit in Time Series Models。Biometrika,6,297-303。  new window
14.MacDonald, Ronald、Taylor, Mark(1989)。Foreign Exchange Market Efficiency and Cointegration: Some Evidence from the Recent Float。Economics Letters,29,63-68。  new window
15.Moosa, I. A.(1983)。Dinar Dissent。Institutional Investor,1983(Jun.),53。  new window
16.Moosa, I. A.(1989)。Has the KD Been Devalued Against the Dollar?。Arab Banker,9,26-28。  new window
17.Stock, J. H.(1987)。Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors。Econometrica,55(5),1033-1056。  new window
18.Tronzano, M.(1992)。Efficiency in German and Japanese Foreign Exchange Markets: Evidence from Cointegration Techniques。Weltwirtschaftliches Archiv,128,1-19。  new window
19.Phillips, Peter C. B.、Ouliaris, Sam(1990)。Asymptotic properties of residual based tests for cointegration。Econometrica,58(1),165-193。  new window
20.Granger, C. W. J.(1981)。Some Properties of Time Series Data and Their Use in Econometric Model Specification。Journal of Econometrics,16(1),121-130。  new window
21.Box, George E. P.、Pierce, David A.(1970)。Distribution of Residual Autocorrelations in Autoregressive Integrated Moving Average Time Series Models。Journal of American Statistical Association,65(332),1509-1526。  new window
22.Phillips, P. C. B.(1987)。Time series regression with a unit root。Econometrica: Journal of the Econometric Society,55(2),277-301。  new window
23.West, Kenneth D.(1988)。Asymptotic Normality, When Regressors Have a Unit Root。Econometrica,56(6),1397-1417。  new window
24.Baillie, Richard T.、Bollerslev, Tim(1989)。Common Stochastic Trends in a System of Exchange Rates。The Journal of Finance,44(1),167-181。  new window
25.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
26.Dickey, David A.、Fuller, Wayne A.(1979)。Distribution of the Estimators for Autoregressive Time Series With a Unit Root。Journal of the American Statistical Association,74(366),427-431。  new window
研究報告
1.Moosa, I. A.(1983)。KD Forecasting Model。Kuwait International Investment Company。  new window
2.Moosa, I. A.(1987)。The KD Exchange Rate: Recent Trends and Future Outlook。Kuwait International Investment Company。  new window
圖書論文
1.Argy, V.(1990)。Choice of Exchange Rate Regime for a Smaller Economy: A Survey of Some Key Issues。Choosing an Exchange Rate Regime: The Challenge for Smaller Industrial Countries。Washington, DC.:International Monetary Fund。  new window
2.Moosa, I. A.(1983)。Appreciating the KD's Fortunes。Arab Banking and Finance。  new window
3.Moosa, I. A.(1985)。Controls Needed to Curb Cash Outflows。Middle East Banking and Finance。  new window
 
 
 
 
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