On Cointegration and Tests of Forward Market Unbiasedness
This paper provides univariate and multivariate tests of the unbiasedness hypothesis in forward market efficiency studies using canonical regression procedures for cointegrated systems. The advantage of conducting inference on levels rather than differenced data include greater asymptotic efficiency...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
1992
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/2252 https://search.ebscohost.com/login.aspx?direct=true&db=buh&AN=4645892&site=ehost-live |
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| Institution: | Singapore Management University |
| Language: | English |
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