A COINTEGRATION TEST FOR OIL FUTURES MARKET-EFFICIENCY

被引:72
作者
CROWDER, WJ [1 ]
HAMED, A [1 ]
机构
[1] ARIZONA STATE UNIV,DEPT ECON,TEMPE,AZ 85287
关键词
D O I
10.1002/fut.3990130810
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:933 / 941
页数:9
相关论文
共 25 条
[1]   NESTED REDUCED-RANK AUTOREGRESSIVE MODELS FOR MULTIPLE TIME-SERIES [J].
AHN, SK ;
REINSEL, GC .
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1988, 83 (403) :849-856
[2]   BIVARIATE GARCH ESTIMATION OF THE OPTIMAL COMMODITY FUTURES HEDGE [J].
BAILLIE, RT ;
MYERS, RJ .
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].
BILSON, JFO .
JOURNAL OF BUSINESS, 1981, 54 (03) :435-451
[5]  
BRENNER RJ, 1992, ARBITRAGE COINTEGRAT
[6]   FUTURES MARKET-EFFICIENCY - EVIDENCE FROM COINTEGRATION TESTS [J].
CHOWDHURY, AR .
JOURNAL OF FUTURES MARKETS, 1991, 11 (05) :577-589
[7]   DISTRIBUTION OF THE ESTIMATORS FOR AUTOREGRESSIVE TIME-SERIES WITH A UNIT ROOT [J].
DICKEY, DA ;
FULLER, WA .
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1979, 74 (366) :427-431
[8]   COINTEGRATION AND MARKET-EFFICIENCY [J].
DWYER, GP ;
WALLACE, MS .
JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 1992, 11 (04) :318-327
[9]  
ENGLE RF, 1987, ECONOMETRICA, V50, P987
[10]  
Garbade K., 1982, SECURITIES MARKETS