A cointegration test of the impact of foreign exchange rates on U.S. stock market prices
Tài liệu tham khảo
Box, 1976
Campbell, 1988, Interpreting Cointegrated Models, Journal of Economic Dynamics and Control, 12, 505, 10.1016/0165-1889(88)90053-X
Clarida, 1984, The Behavior of U.S. Short-Term Interest Rates Since October 1979, Journal of Finance, 39, 671, 10.2307/2327925
Dickey, 1979, Distribution of the Estimators for Autoregressive Time Series With a Unit Root, Journal of the American Statistical Association, 74, 427, 10.2307/2286348
Dickey, 1981, Likelihood Ratio Statistics for Autoregressive Time Series With a Unit Root, Econometrica, 49, 1049, 10.2307/1912517
Engle, 1987, Forecasting and Testing in Cointegrated Systems, Journal of Econometrics, 35, 143, 10.1016/0304-4076(87)90085-6
Engle, 1987, Cointegration and Error Correction: Representation, Estimation, and Testing, Econometrica, 55, 251, 10.2307/1913236
Hendry, 1986, Econometric Modelling with Cointegrated Variables: An Overview, Oxford Bulletin of Economics and Statistics, 48, 201, 10.1111/j.1468-0084.1986.mp48003001.x
Huizinga, 1986, Monetary Policy Regime Shifts and the Unusual Behavior of Real Interest Rates, Carnegie-Rochester Conference Series on Public Policy, 24, 231, 10.1016/0167-2231(86)90011-4
Johansen, 1988, Statistical Analysis of Cointegrating Vectors, Journal of Economic Dynamics and Control, 12, 231, 10.1016/0165-1889(88)90041-3
MacKinnon, 1990, Critical Values for Cointegration Tests
Miller, 1991, Monetary Dynamics: An Application of Cointegration and Error-Correction Modeling, Journal of Money, Credit, and Banking, 23, 139, 10.2307/1992773
Pindyck, 1981
Phillips, 1990, Asymptotic Properties of Residual Based Tests For Cointegration, Econometrica, 58, 165, 10.2307/2938339
Roley, 1987, The Effects of Money Announcements Under Alternative Monetary Control Procedures, Journal of Money, Credit, and Banking, 19, 292, 10.2307/1992078
Schwert, 1987, Effects of Model Specification on Tests for Unit Roots in Macroeconomic Data, Journal of Monetary Economics, 20, 73, 10.1016/0304-3932(87)90059-6
Stock, 1987, Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors, Econometrica, 55, 1035, 10.2307/1911260
