5[5]Robert F.Engle; C.W.J.Granger(1987).Co-Integration and Error Correction:Representation,Estimation,and Testing.Econometrica,55:250-276.
二级参考文献22
1赵进文.cointegration analysis of commodity futures prices in DaLian， China and Chicago[J].Journal ofEmerging Markets,2002:19-27.
2陆懋祖，高等时间序列经济计量学，1999年
3Bessler. D.A. and Covey. T.. Cointegration: Some Results on U.S. Cattle Prices. The Journal of Futures Markets, 1991, (11): 461-474.
4Bigman. D., Goldfarb. D. and Schechtman. E.. Futures Markets Efficiency and the Time Content of the Information Sets. The Journal of Futures Markets, 1983, (3): 321-334.
5Booth. G.,So. R. and Tse. Y.. Price Discovery in the German Equity Index Derivatives Markets. The Journal of Futures Markets, 1999, (19): 6619-6643.
6Elam. E. and Dixon. L. B.. Examining the Validity of a Test of Futures Market Efficiency. The Journal of Futures Markets, 1988, (8): 365-372.
7Engle. R. F. and Granger, C.W.J.. Co-integration and Error Correction: Representation, Estimation, and Testing, Econometrica, 1987, (55): 251-276.
8Garbade. K. D. and Silber. W. L.. Price Movements and Price Discovery in Futures and Cash Markets, Review of Economics and Statistics, 1983, (65): 289-297.
9Lai. K. S. and Lai. M.. A Cointegration Test for Market Efficiency, The Journal of Futures Markets, 1991, (11): 567-575.
10Maberly. E. D.. Testing Futures Market Efficiency- A Restatement. The Journal of Futures Markets, 1985, (5): 365-372.
