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Citations for " Cointegration, Fractional Cointegration, and Exchange Rate Dynamics"

by Baillie, Richard T & Bollerslev, Tim

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Cited by (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.):
  1. Yann Schorderet, 2002. "A Nonlinear Generalization of Cointegration : A Note on Hidden Cointegration," Cahiers du Département d'Econométrie 2002.03, Département d'Econométrie, Université de Genève. [Downloadable!]
  2. Jérôme Héricourt & Julien Reynaud, 2006. "La crise monétaire turque de 2000/2001 : analyse de l'échec du plan de stabilisation par le change du FMI," Cahiers de la Maison des Sciences Economiques bla06009, Université Panthéon-Sorbonne (Paris 1). [Downloadable!]
    Other versions:
  3. Mark Jensen, 1999. "An Approximate Wavelet MLE of Short- and Long-Memory Parameters," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 3(4), pages 239-253. [Downloadable!] (restricted)
  4. L. Gil-Alana, . "Forecasting the Real Output Using Fractionally Integrated Techniques," Sonderforschungsbereich 373 2001-27, Humboldt Universitaet Berlin.
  5. Marc Henry & Paolo Zaffaroni, 2002. "The long range dependence paradigm for macroeconomics and finance," Discussion Papers 0102-19, Columbia University, Department of Economics. [Downloadable!]
  6. Karim Abadir & Giovanni Caggiano & Gabriel Talmain, 2005. "Nelson-Plosser Revisited: the ACF Approach," Working Papers 2005_7, Department of Economics, University of Glasgow. [Downloadable!]
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  7. Mark J. Jensen, 1997. "Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Long Memory Parameter," Econometrics 9710002, EconWPA. [Downloadable!]
  8. John Barkoulas & Christopher F. Baum & Gurkan S. Oguz, 1996. "Fractional Cointegration Analysis of Long Term International Interest Rates," Boston College Working Papers in Economics 315., Boston College Department of Economics. [Downloadable!]
  9. Lyhagen, Johan, 1998. "Maximum likelihood estimation of the multivariate fractional cointegrating model," Working Paper Series in Economics and Finance 233, Stockholm School of Economics. [Downloadable!]
  10. Luis A. Gil-Alana, 2004. "Forecasting the real output using fractionally integrated techniques," Applied Economics, Taylor and Francis Journals, vol. 36(14), pages 1583-1589, August. [Downloadable!] (restricted)
  11. Aaron Smallwood, 2004. "Joint Tests for Long Memory and Non-linearity: The Case of Purchasing Power Parity," Computing in Economics and Finance 2004 23, Society for Computational Economics. [Downloadable!]
  12. A. Mansur M. Masih & Rumi Masih, 2004. "Fractional cointegration, low frequency dynamics and long-run purchasing power parity: an analysis of the Australian dollar over its recent float," Applied Economics, Taylor and Francis Journals, vol. 36(6), pages 593-605, April. [Downloadable!] (restricted)
  13. Gianluca Moretti, 2007. "Detecting long memory co-movements in macroeconomic time series," Temi di discussione (Economic working papers) 642, Bank of Italy, Economic Research Department. [Downloadable!]
  14. Greg Tkacz, 2001. "Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 5(1), pages 1068-1068. [Downloadable!] (restricted)
    Other versions:
  15. David G. McMillan, 2005. "Cointegrating behaviour between spot and forward exchange rates," Applied Financial Economics, Taylor and Francis Journals, vol. 15(16), pages 1135-1144, November. [Downloadable!] (restricted)
  16. Patrick J. Wilson & John Okunev, 1999. "Long-Term Dependencies and Long Run non-Periodic Co-Cycles: Real Estate and Stock Markets," Journal of Real Estate Research, American Real Estate Society, vol. 18(2), pages 257-278. [Downloadable!]
  17. Jose A. Lopez, 1996. "Exchange rate cointegration across central bank regime shifts," Research Paper 9602, Federal Reserve Bank of New York. [Downloadable!]
  18. Marie-Josée Godbout & Simon van Norden, 1997. "Reconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples," Working Papers 97-1, Bank of Canada. [Downloadable!]
  19. Aaron Smallwood, 2005. "Joint Tests for Non-linearity and Long Memory: The Case of Purchasing Power Parity," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 9(2), pages 1227-1227. [Downloadable!] (restricted)
  20. John Barkoulas & Christopher F. Baum, 1996. "A Re-examination of the Fragility of Evidence from Cointegration- Based Tests of Foreign Exchange Market Efficiency," Boston College Working Papers in Economics 311., Boston College Department of Economics. [Downloadable!]
    Other versions:
  21. Kim, Jeong-Ryeol, 2002. "The stable long-run CAPM and the cross-section of expected returns," Discussion Paper Series 1: Economic Studies 2002,05, Deutsche Bundesbank, Research Centre. [Downloadable!]
  22. Luis Alberiko Gil-Alana, 2004. "A fractionally integrated model for the Spanish real GDP," Economics Bulletin, Economics Bulletin, vol. 3(8), pages 1-6. [Downloadable!]
  23. Derek Bond & Michael J. Harrison & Niall Hession & Edward J. O'Brien, 2006. "Some Empirical Observations on the Forward Exchange Rate Anomaly," Trinity Economics Papers tep2006, Trinity College Dublin, Department of Economics. [Downloadable!]
  24. Luis Alberiko Gil-Alana, . "Structural Change and the Order of Integration in Univariate Time Series," Faculty Working Papers 20/05, School of Economics and Business Administration, University of Navarra. [Downloadable!]
  25. Mark J. Jensen, 1999. "An Approximate Wavelet MLE of Short- and Long-Memory Parameters," Computing in Economics and Finance 1999 1243, Society for Computational Economics. [Downloadable!]
  26. Michael Dueker & Richard Startz, 1997. "Maximum-likelihood estimation of fractional cointegration with application to the short end of the yield curve," Working Papers 1994-027, Federal Reserve Bank of St. Louis. [Downloadable!]
  27. Mark J. Jensen, 1998. "An Approximate Wavelet MLE of Short and Long Memory Parameters," Econometrics 9802003, EconWPA, revised 21 Jun 1999. [Downloadable!]
  28. Michael Kühl, 2008. "Strong comovements of exchange rates: Theoretical and empirical cases when currencies become the same asset," Center for European, Governance and Economic Development Research (cege) Discussion Papers 76, Center for European, Governance and Economic Development Research, University of Goettingen (Germany)., revised 03 Sep 2008. [Downloadable!]
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This page was last updated on 2008-11-26.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.