A comparison of Johansen and Phillips-Hansen cointegration tests of forward market efficiency (Q674069)

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A comparison of Johansen and Phillips-Hansen cointegration tests of forward market efficiency
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    title
    A comparison of Johansen and Phillips-Hansen cointegration tests of forward market efficiency (English)
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    author
    Michael J. Moore
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    Laurence S. Copeland
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    publication date
    28 February 1997
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    zbMATH DE Number
    985920
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    zbMATH Keywords
    Cointegration
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    Exchange rates
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    Efficiency
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    Forward market
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    Maximum likelihood
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