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Testing for unit roots with very high frequency spot exchange rate data

Author

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  • Goodhart, Charles A. E.
  • McMahon, Patrick C.
  • Ngama, Yerima L.

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Suggested Citation

  • Goodhart, Charles A. E. & McMahon, Patrick C. & Ngama, Yerima L., 1993. "Testing for unit roots with very high frequency spot exchange rate data," Journal of Macroeconomics, Elsevier, vol. 15(3), pages 423-438.
    • Handle: RePEc:eee:jmacro:v:15:y:1993:i:3:p:423-438
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    Cited by:

    1. Schmidt, Robert & Wollmershäuser, Timo, 2004. "Sterilized Foreign Exchange Market Interventions in a Chartist-Fundamentalist Exchange Rate Model," W.E.P. - Würzburg Economic Papers 50, University of Würzburg, Department of Economics.
    2. AuYong, Hue Hwa & Gan, Christopher & Treepongkaruna, Sirimon, 2004. "Cointegration and causality in the Asian and emerging foreign exchange markets: Evidence from the 1990s financial crises," International Review of Financial Analysis, Elsevier, vol. 13(4), pages 479-515.
    3. Westerhoff, Frank H., 2003. "Expectations driven distortions in the foreign exchange market," Journal of Economic Behavior & Organization, Elsevier, vol. 51(3), pages 389-412, July.
    4. Muco, Marta & Papapanagos, Harry & Sanfey, Peter, 1999. "The Determinants of Official and Free-Market Exchange Rates in Albania during Transition," Journal of Comparative Economics, Elsevier, vol. 27(3), pages 534-552, September.
    5. C.A.E. Goodhart, 1997. "Whither now?," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 50(203), pages 385-430.
    6. Herwartz, Helmut, 2001. "Investigating the JPY/DEM-rate: arbitrage opportunities and a case for asymmetry," International Journal of Forecasting, Elsevier, vol. 17(2), pages 231-245.
    7. Frank Westerhoff & Claudia Lawrenz, 2000. "Explaining Exchange Rate Volatility With A Genetic Algorithm," Computing in Economics and Finance 2000 325, Society for Computational Economics.
    8. Elyasiani, Elyas & Kocagil, Ahmet E. & Mansur, Iqbal, 2007. "Information transmission and spillover in currency markets: A generalized variance decomposition analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(2), pages 312-330, May.
    9. C. Lawrenz & F. Westerhoff, 2003. "Modeling Exchange Rate Behavior with a Genetic Algorithm," Computational Economics, Springer;Society for Computational Economics, vol. 21(3), pages 209-229, June.
    10. C.A.E. Goodhart, 1997. "Whither now?," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 50(203), pages 385-430.

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