References
- Banerjee , A. , Dolado , J. , Galbraith , J. and Hendry , D. F. 1993 . Cointegration, Error-Correction and the Econometric Analysis of Non-stationary Data , Oxford : Oxford University Press .
- Cheung , Y.-W. and Lai , K. S. 1995 . Long memory in international stock market returns . Journal of International Money and Finance , 14 : 597 – 615 .
- Cheung , Y.-W. , Lai , K. S. and Lai , M. 1993 . Are there long cycles in foreign stock returns? . Journal of International Financial Markets , 3 : 33 – 47 .
- Dickey , D. A. and Fuller , W. A. 1979 . Distribution of the estimators in autoregressive time series with a unit root . Journal of the American Statistical Association , 74 : 427 – 31 .
- Engle , R. F. and Granger , C. W. J. 1987 . Cointegration and error correction: representation, estimation and testing . Econometrica , 55 : 251 – 76 .
- Fama , E. F. 1991 . Efficient capital markets II . Journal of Finance , XLVI : 1575 – 1617 .
- Fama , E. F. and French , K. 1988 . Permanent and temporary components of stock prices . Journal of Political Economy , 96 : 246 – 73 .
- Gonzalo , J. 1994 . Five alternative methods of estimating long-run parameters . Journal of Econometrics , 60 : 203 – 33 .
- Johansen , S. 1988 . Statistical analysis of cointegration vectors . Journal of Economic Dynamics and Control , 12 : 231 – 51 .
- Johansen, S. and Juselius, K. (1990)
- Juselius , K. 1991 . Manual to Cointegration Analysis of Time Series , Institute of Economics, University of Copenhagen .
- Kasa , K. 1992 . Common stochastic trends in international stock markets . Journal of Monetary Economics , 29 : 95 – 124 .
- Lo , A. W. 1991 . Long term memory in stock market prices . Econometrica , 59 : 1279 – 1313 .
- Osterwald-Lenum , M. 1992 . A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank statistic . Oxford Bulletin of Economics and Statistics , 54 : 461 – 72 .
![Supercharge Your Next Research Paper: Research and write your next paper with Jenni AI.]({"type":"image" , "src" : "/sda/112440/MPU-Jenni-AI-ECONOMICS.png"})