Fractional Cointegration Analysis Of Stock Market And Exchange Rates: The Case Of Turkey
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References listed on IDEAS
- Claude Diebolt & Vivien Guiraud, 2005. "A Note On Long Memory Time Series," Quality & Quantity: International Journal of Methodology, Springer, vol. 39(6), pages 827-836, December.
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More about this item
KeywordsFinancial Markets; Fractional Integration; Fractional Cointegration;
- G1 - Financial Economics - - General Financial Markets
- A1 - General Economics and Teaching - - General Economics
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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