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An empirical examination of the generalized Fisher effect using cross-sectional correlation robust tests for panel cointegration

Omay, Tolga; Yüksel, Aslı; Yüksel, Sadettin Aydın (Elsevier Science BV, 2015-03)

This study examines the generalized Fisher hypothesis as applied to common stocks by using the recently proposed second generation panel cointegration tests. Unlike their predecessors, these new tests assume the existence ...