Concepedia

Exchange rate predictability and a monetary model with time-varying cointegration coefficients

Cheolbeom Park, Sookyung Park

Journal of International Money and Finance · 2013 · 31 citations · 44 references

DOI

Concepts

References

44

Co-Integration and Error Correction: Representation, Estimation, and Testing

Robert F. Engle, C. W. J. Granger · Econometrica · 1987 · 31.9K citations

, , +9

Statistical analysis of cointegration vectors

Søren Johansen · Journal of Economic Dynamics and Control · 1988 · 16.8K citations

, , +13

MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY

Søren Johansen, Katarina Jusélius · Oxford Bulletin of Economics and Statistics · 1990 · 14.1K citations

, , +6

Time Series Analysis.

Jörg Breitung, James D. Hamilton · Contemporary Sociology A Journal of Reviews · 1995 · 11.2K citations

, , +7

A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems

James H. Stock, Mark W. Watson · Econometrica · 1993 · 4.9K citations

, , +8