A comparison of Johansen and Phillips-Hansen cointegration tests of forward market efficiency (Q674069)
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scientific article; zbMATH DE number 985920
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| English | A comparison of Johansen and Phillips-Hansen cointegration tests of forward market efficiency |
scientific article; zbMATH DE number 985920 |
Statements
A comparison of Johansen and Phillips-Hansen cointegration tests of forward market efficiency (English)
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28 February 1997
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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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0.7126280069351196
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0.7116361260414124
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0.7087099552154541
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0.699682354927063
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