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Original Articles

The implications of cointegration in financial markets: a comment

Pages 141-143 | Published online: 05 Oct 2010

References

  • Copeland , T. E. and Weston , J. F. 1988 . Financial Theory and Corporate Policy , Reading, MA : Addison-Wesley .
  • Dwyer , G. P. and Wallace , M. S. l992 . Cointegration and market efficiency . Journal of International Money and Finance , 11 : 318 – 327 .
  • Engle , R. F. and Granger , C. W. J. 1987 . Co-integration and error correction: representation, estimation and testing . Econometrica , 55 : 251 – 276 .
  • Granger , C. W. J. 1986 . Developments in the study of cointegrated variables . Oxford Bulletin of Economics and Statistics , 48 : 213 – 228 .
  • Wang , P. 1995 . The implications of cointegration in financial markets . Applied Economics Letters , 2 : 263 – 265 .

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