The 30 references in paper Christopher F. Baum, John Barkoulas (2001) “Dynamics of Intra-EMS Interest Rate Linkages” / RePEc:boc:bocoec:492

1
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2
Baillie, Richard T. and Tim Bollerslev. (1989) “Common stochastic trends in a system of exchange rates.” Journal of Finance, 44, 167-181.
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3
Bekaert, Geert and Robert Hodrick. (1992) “Characterizing predictable components in excess returns on equity and foreign exchange markets.” Journal of Finance, 47, 467-509.
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4
Caporale, Guglielmo, Sarantis Kalyvitis and Nikitas Pittis. (1996) “Interest rate convergence, capital controls, risk premia, and foreign exchange market efficiency in the EMS.” Journal of Macroeconomics, 18, 693-714.
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5
Engel, Charles. (1996) “The forward discount anomaly and the risk premium: A survey of recent evidence.” Journal of Empirical Finance, 3, 123-192.
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6
Engle, Robert and Clive W.J. Granger. (1987) “Cointegration and error correction: Representation, estimation and testing.” Econometrica, 55, 251-276.
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7
Fama, Eugene. (1984) “Forward and spot exchange rates.” Journal of Monetary Economics, 14, 319-328.
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8
Granger, Clive W.J. (1986) “Developments in the study of cointegrated economic variables.” Oxford Bulletin of Economics and Statistics, 48, 213-228.
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9
Hagen, Jürgen von and Michele Fratianni. (1990) “German dominance in the EMS: Evidence from interest rates.” Journal of International Money and Finance, 9, 358375.
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10
Hansen, Lars and Robert Hodrick. (1980) “Forward exchange rates as optimal predictors of future spot rates: An econometric analysis.” Journal of Political Economy, 88, 829-853.
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11
Hassapis, Christis, Nikitas Pittis, and Kyprianos Prodromidis. (1999) “Unit roots and Granger causality in the EMS interest rates: The German dominance hypothesis revisited.” Journal of International Money and Finance, 18, 47-73.
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12
Herz, Bernhard and Werner Röger. (1992) “The EMS is a greater Deutschmark area.”
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13
European Economic Review, 36, 1413-1425.
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14
Hodrick, Robert and Sanjay Srivastava. (1984) “An investigation of risk and return in forward foreign exchange.” Journal of International Money and Finance, 3, 5-29.
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15
Karfakis, Costas J. and Demetrios M. Moschos. (1990) “Interest rate linkages within the
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16
European Monetary System: A time series analysis.” Journal of Money, Credit, and Banking, 22, 388-394.
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17
Katsimbris, George M. and Stephen M. Miller. (1993) “Interest rate linkages within the
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18
European Monetary System: Further analysis.” Journal of Money, Credit, and Banking, 25, 771-779.
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19
Kirchgässner, Gebhard and Jurgen Wolters. (1993) “Does the DM dominate the Euro market? An empirical investigation.” Review of Economics and Statistics, 75, 773778.
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20
Koedijk, Kees G. and Clemens J. M. Kool. (1992) “Dominant interest and inflation differentials within the EMS.” European Economic Review, 36, 925-943.
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21
Korajczyk, Robert A. (1985) “The pricing of forward contracts for forward exchange.” Journal of Political Economy, 93, 346-368.
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22
Krugman, Paul. (1991) “Target zones and exchange rate dynamics.” Quarterly Journal of Economics, 106, 311-325.
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23
Lien, Donald and Yiu Kuen Tse. (1999) “Fractional cointegration and futures hedging.” Journal of Futures Markets, 19, 457-474.
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24
Meese, Richard and Kenneth Singleton. (1982) “On unit roots and the empirical modeling of exchange rates.” Journal of Finance, 37, 1029-1035.
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25
Robinson, Peter M. (1995) “Log-periodogram regression of time series with long range dependence.” Annals of Statistics, 23, 1048-1072.
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26
Rose, Andrew and Lars Svensson. (1995) “Expected and predicted realignments: The FF/DM exchange rate during the EMS, 1979-93.” Scandinavian Journal of Economics, 97, 173-200.
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27
Shively, Philip A. (2000) “Stationary time-varying risk premia in forward foreign exchange rates.” Journal of International Money and Finance, 19, 273-288.
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28
Svensson, Lars. (1992) “The foreign exchange risk premium in a target zone with devaluation risk.” Journal of International Economics, 33, 21-40.
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29
Van Poeck, André and Johan Van Gombel. (1994) “Dominant interest and inflation differentials within the EMS: A comment.” European Economic Review, 38, 16611663.
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30
Wolff, Christian P. (1987) “Forward foreign exchange rates, expected spot rates and premia: A signal extraction approach.” Journal of Finance, 42, 395-406.
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