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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"Error Correction Models for Fractionally Cointegrated Time Series,"
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- Dittmann, Ingolf, 2000. "Error correction models for fractionally cointegrated time series," Technical Reports 2000,02, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
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- Erman Erbaykal & H. Aydin Okuyan, 2007. "The Relationship Between Stock Prices and Exchange Rates: An Empirical Study on Emerging Markets," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 1(1), pages 77-90.
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- Yaya, OlaOluwa S & Gil-Alana, Luis A., 2018. "High and Low Intraday Commodity Prices: A Fractional Integration and Cointegration Approach," MPRA Paper 90518, University Library of Munich, Germany.
- repec:arp:tjssrr:2018:p:653-656 is not listed on IDEAS
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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