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

by Baillie, R.T. & Bollerslev, T.

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  1. 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.
  2. John T. Barkoulas & Christopher F. Baum & Atreya Chakraborty, 2000. "Forward Premiums and Market Efficiency: Panel Unit-root Evidence from the Term Structure of Forward Premiums," Boston College Working Papers in Economics 461, Boston College Department of Economics, revised 13 Jun 2001.
  3. Mark J. Jensen, 1998. "An Approximate Wavelet MLE of Short and Long Memory Parameters," Econometrics 9802003, EconWPA, revised 21 Jun 1999.
  4. Luis A. Gil-Alana, 2004. "Modelling the Japanese Exchange Rate in Terms of I(d) Statistical Models with Parametric and Semiparametric Techniques," International Journal of Business and Economics, College of Business and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 3(2), pages 123-138, August.
  5. Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne Péguin-Feissolle, 2013. "Long-run relationships between international stock prices: further evidence from fractional cointegration tests," Applied Economics, Taylor & Francis Journals, vol. 45(7), pages 817-828, March.
  6. Javier Hualde & A Robinson, 2006. "Root-N-Consistent Estimation Of Weakfractional Cointegration," STICERD - Econometrics Paper Series /06/499, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  7. Dolado, Juan José & Mármol, Francesc, 1998. "FM-OLS estimation of cointegrating relationships among nonstationary fractionally integrated processes," DES - Working Papers. Statistics and Econometrics. WS 4672, Universidad Carlos III de Madrid. Departamento de Estadística.
  8. Jin, Hyun J. & Elder, John & Koo, Won W., 2006. "A reexamination of fractional integrating dynamics in foreign currency markets," International Review of Economics & Finance, Elsevier, vol. 15(1), pages 120-135.
  9. Luis Alberiko Gil-Alana, 2004. "A fractionally integrated model for the Spanish real GDP," Economics Bulletin, AccessEcon, vol. 3(8), pages 1-6.
  10. Cochran, Steven J. & DeFina, Robert H., 1996. "Predictability in real exchange rates: Evidence from parametric hazard models," International Review of Economics & Finance, Elsevier, vol. 5(2), pages 125-147.
  11. Bond, Derek & Harrison, Michael J & Hession, Niall & O’Brien, Edward J., 2006. "Some Empirical Observations on the Forward Exchange Rate Anomaly," Research Technical Papers 3/RT/06, Central Bank of Ireland.
  12. Zhang, Hui Jun & Dufour, Jean-Marie & Galbraith, John W., 2016. "Exchange rates and commodity prices: Measuring causality at multiple horizons," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 100-120.
  13. Sweeney, R. J., 2000. "Does the Fed beat the foreign-exchange market?," Journal of Banking & Finance, Elsevier, vol. 24(5), pages 665-694, May.
  14. Abadir, Karim M. & Caggiano, Giovanni & Talmain, Gabriel, 2013. "Nelson–Plosser revisited: The ACF approach," Journal of Econometrics, Elsevier, vol. 175(1), pages 22-34.
  15. Madura, J. & Wiley, M. K. & Zarruk, E. R., 1998. "Cointegration of term structure premiums across countries," Journal of Multinational Financial Management, Elsevier, vol. 8(4), pages 393-412, November.
  16. Luis Gil-Alana, 2003. "Long memory in the interest rates in some Asian countries," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 9(4), pages 257-267, November.
  17. John Barkoulas & Christopher Baum, 1997. "A re-examination of the fragility of evidence from cointegration-based tests of foreign exchange market efficiency," Applied Financial Economics, Taylor & Francis Journals, vol. 7(6), pages 635-643.
  18. Abadir, Karim M. & Distaso, Walter & Giraitis, Liudas, 2009. "Two estimators of the long-run variance: Beyond short memory," Journal of Econometrics, Elsevier, vol. 150(1), pages 56-70, May.
  19. Giorgio Canarella & Stephen M. Miller, 2016. "Inflation Persistence and Structural Breaks: The Experience of Inflation Targeting Countries and the US," Working papers 2016-11, University of Connecticut, Department of Economics.
  20. Marcel Aloy & Gilles de Truchis, 2012. "Estimation and Testing for Fractional Cointegration," AMSE Working Papers 1215, Aix-Marseille School of Economics, Marseille, France.
  21. Mark J. Jensen, 1997. "Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Long Memory Parameter," Econometrics 9710002, EconWPA.
  22. Gilles De Truchis & Benjamin Keddad, 2012. "South East Asian Monetary Integration: New Evidences from Fractional Cointegration of Real Exchange Rates," Working Papers halshs-00793503, HAL.
  23. Luis Gil-Alana, 2004. "Forecasting the real output using fractionally integrated techniques," Applied Economics, Taylor & Francis Journals, vol. 36(14), pages 1583-1589.
  24. Bollerslev, Tim & Ole Mikkelsen, Hans, 1996. "Modeling and pricing long memory in stock market volatility," Journal of Econometrics, Elsevier, vol. 73(1), pages 151-184, July.
  25. Shimotsu, Katsumi, 2010. "Exact Local Whittle Estimation of Fractionally Cointegrated Systems," Discussion Papers 2010-11, Graduate School of Economics, Hitotsubashi University.
  26. Xu Cheng & Peter C. B. Phillips, 2009. "Cointegrating Rank Selection in Models with Time-Varying Variance," Cowles Foundation Discussion Papers 1688, Cowles Foundation for Research in Economics, Yale University.
  27. Karim M. Abadir & Gabriel Talmain, 2012. "Beyond Co-Integration: Modelling Co-Movements in Macro finance," Working Paper Series 25_12, The Rimini Centre for Economic Analysis.
  28. Nielsen, Morten Orregaard & Shimotsu, Katsumi, 2007. "Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach," Journal of Econometrics, Elsevier, vol. 141(2), pages 574-596, December.
  29. Kin-Yip Ho & Albert K Tsui, 2008. "Volatility Dynamics In Foreign Exchange Rates: Further Evidence From The Malaysian Ringgit And Singapore Dollar," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-27.
  30. Kühl, Michael, 2007. "Cointegration in the foreign exchange market and market efficiency since the introduction of the Euro: Evidence based on bivariate cointegration analyses," Center for European, Governance and Economic Development Research Discussion Papers 68, University of Goettingen, Department of Economics.
  31. Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne Péguin-feissolle, 2010. "Fractional integration and cointegration in stock prices and exchange rates," Economics Bulletin, AccessEcon, vol. 30(1), pages 115-129.
  32. Luis A. Gil-Alana, 2004. "Structural Change and the Order of Integration in Univariate Time Series," Computational Economics, Springer;Society for Computational Economics, vol. 23(3), pages 239-254, 04.
  33. Joerg Breitung and Uwe Hassler, 2001. "Inference on the Cointegration Rank in Fractionally Integrated Processes," Computing in Economics and Finance 2001 233, Society for Computational Economics.
  34. Hassler, U. & Marmol, F. & Velasco, C., 2006. "Residual log-periodogram inference for long-run relationships," Journal of Econometrics, Elsevier, vol. 130(1), pages 165-207, January.
  35. Coleman, Simeon, 2010. "Inflation persistence in the Franc zone: Evidence from disaggregated prices," Journal of Macroeconomics, Elsevier, vol. 32(1), pages 426-442, March.
  36. Chevillon, Guillaume & Mavroeidis, Sophocles, 2011. "Learning generates Long Memory," ESSEC Working Papers WP1113, ESSEC Research Center, ESSEC Business School.
  37. Kühl, Michael, 2010. "Bivariate cointegration of major exchange rates, cross-market efficiency and the introduction of the Euro," Journal of Economics and Business, Elsevier, vol. 62(1), pages 1-19, January.
  38. Sekioua, Sofiane H., 2006. "Nonlinear adjustment in the forward premium: evidence from a threshold unit root test," International Review of Economics & Finance, Elsevier, vol. 15(2), pages 164-183.
  39. 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 & Francis Journals, vol. 36(6), pages 593-605.
  40. Choudhry, Taufiq, 1999. "Re-examining forward market efficiency Evidence from fractional and Harris-Inder cointegration tests," International Review of Economics & Finance, Elsevier, vol. 8(4), pages 433-453, November.
  41. Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 73-114, June.
  42. Hsin, Chin-Wen & Shiah-Hou, Shin-Rong & Chang, Feng-Yi, 2007. "Stock return exposure to exchange rate risk: A perspective from delayed reactions and hedging effects," Journal of Multinational Financial Management, Elsevier, vol. 17(5), pages 384-400, December.
  43. Adams, Zeno & Gerner, Mathias, 2012. "Cross hedging jet-fuel price exposure," Energy Economics, Elsevier, vol. 34(5), pages 1301-1309.
  44. repec:got:cegedp:76 is not listed on IDEAS
  45. Morten Oerregaard Nielsen, "undated". "Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics," Economics Working Papers 2002-7, Department of Economics and Business Economics, Aarhus University.
  46. Karim M. Abadir & Gabriel Talmain, 2008. "Macro and Financial Markets: The Memory of an Elephant?," Working Paper Series 17_08, The Rimini Centre for Economic Analysis.
  47. Chung, Ching-Fan, 1996. "Estimating a generalized long memory process," Journal of Econometrics, Elsevier, vol. 73(1), pages 237-259, July.
  48. Heni Boubaker & Nadia Sghaier, 2014. "Wavelet based Estimation of Time- Varying Long Memory Model with Nonlinear Fractional Integration Parameter," Working Papers 2014-284, Department of Research, Ipag Business School.
  49. Tkacz, Greg, 2000. "Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator," Staff Working Papers 00-5, Bank of Canada.
  50. Tse, Yiuman & Booth, G. Geoffrey, 1996. "Common volatility and volatility spillovers between U.S. and Eurodollar interest rates: Evidence from the futures market," Journal of Economics and Business, Elsevier, vol. 48(3), pages 299-312, August.
  51. Lyhagen, Johan, 1998. "Maximum likelihood estimation of the multivariate fractional cointegrating model," SSE/EFI Working Paper Series in Economics and Finance 233, Stockholm School of Economics.
  52. Imene Mootamri & Mohamed Boutahar & Anne Peguin-Feissolle, 2008. "A fractionally integrated exponential STAR model applied to the US real effective exchange rate," Post-Print halshs-00390134, HAL.
  53. Brunetti, Celso & Gilbert, Christopher L., 2000. "Bivariate FIGARCH and fractional cointegration," Journal of Empirical Finance, Elsevier, vol. 7(5), pages 509-530, December.
  54. Boubaker Heni & Boutahar Mohamed, 2011. "A wavelet-based approach for modelling exchange rates," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 20(2), pages 201-220, June.
  55. Carol Alexandra & Anca Dimitriu, 2002. "The Cointegration Alpha: Enchanced Index Tracking and Long-Short Equity Market Neutral Stragies," ICMA Centre Discussion Papers in Finance icma-dp2002-08, Henley Business School, Reading University.
  56. Chong, Terence Tai-Leung, 2000. "Estimating the differencing parameter via the partial autocorrelation function," Journal of Econometrics, Elsevier, vol. 97(2), pages 365-381, August.
  57. 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).
  58. 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.
  59. Bent Jesper Christensen & Morten Ø. Nielsen, "undated". "Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data," Economics Working Papers 2001-4, Department of Economics and Business Economics, Aarhus University.
  60. Pat Wilson & John Okunev, 1996. "Unit Root Testing with Known and Unknown Structural Breaks in Property and Equity Markets," Working Paper Series 62, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  61. Hassler, Uwe & Breitung, Jörg, 2002. "A Residual-Based LM Test for Fractional Cointegration," Darmstadt Discussion Papers in Economics 114, Darmstadt University of Technology, Department of Law and Economics.
  62. Sweeney, Richard J., 2006. "Mean Reversion in G-10 Nominal Exchange Rates," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 41(03), pages 685-708, September.
  63. Chen, Willa W. & Hurvich, Clifford M., 2003. "Estimating fractional cointegration in the presence of polynomial trends," Journal of Econometrics, Elsevier, vol. 117(1), pages 95-121, November.
  64. Wang, Bin & Wang, Man & Chan, Ngai Hang, 2015. "Residual-based test for fractional cointegration," Economics Letters, Elsevier, vol. 126(C), pages 43-46.
  65. Peter Sephton, 1996. "A note on fractional cointegration," Applied Economics Letters, Taylor & Francis Journals, vol. 3(10), pages 683-685.
  66. Clements, A.E. & Hurn, A.S. & Volkov, V.V., 2016. "Common trends in global volatility," Journal of International Money and Finance, Elsevier, vol. 67(C), pages 194-214.
  67. Macide Cicek, 2014. "A Cointegration Test for Turkish Foreign Exchange Market Efficiency," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 4(4), pages 451-471, April.
  68. repec:kap:iaecre:v:9:y:2003:i:4:p:257-267 is not listed on IDEAS
  69. Yi Zheng & Heng Chen, 2011. "Who is More Important – a Leading Power or a Close Neighbor?," Chapters, in: China’s Economy in the Post-WTO Environment, chapter 1 Edward Elgar Publishing.
  70. Luintel, K. B. & Paudyal, K., 1998. "Common stochastic trends between forward and spot exchange rates," Journal of International Money and Finance, Elsevier, vol. 17(2), pages 279-297, April.
  71. Abul Masih & Rumi Masih, 1998. "A multivariate cointegrated modelling approach in testing temporal causality between energy consumption, real income and prices with an application to two Asian LDCs," Applied Economics, Taylor & Francis Journals, vol. 30(10), pages 1287-1298.
  72. Gael Martin, 2001. "Bayesian Analysis Of A Fractional Cointegration Model," Econometric Reviews, Taylor & Francis Journals, vol. 20(2), pages 217-234.
  73. Qi, Min & Wu, Yangru, 2003. "Nonlinear prediction of exchange rates with monetary fundamentals," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 623-640, December.
  74. Gil-Alana, L.A., 2006. "Seasonal and non-seasonal long memory effects in the Japanese real effective exchange rate," Journal of the Japanese and International Economies, Elsevier, vol. 20(1), pages 87-98, March.
  75. David McMillan, 2005. "Cointegrating behaviour between spot and forward exchange rates," Applied Financial Economics, Taylor & Francis Journals, vol. 15(16), pages 1135-1144.
  76. Yann Schorderet, 2002. "A Nonlinear Generalization of Cointegration : A Note on Hidden Cointegration," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 2002.03, Institut d'Economie et Econométrie, Université de Genève.
  77. Wilson H. S. Tong, 2001. "Cointegration, Efficiency and Forecasting in the Currency Market," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 28(1-2), pages 127-150.
  78. Diamandis, Panayiotis F. & Georgoutsos, Dimitris A. & Kouretas, Georgios P., 2008. "Testing the forward rate unbiasedness hypothesis during the 1920s," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(4), pages 358-373, October.
  79. Cunado, J. & Gil-Alana, L.A. & de Gracia, F. Perez, 2005. "A test for rational bubbles in the NASDAQ stock index: A fractionally integrated approach," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2633-2654, October.
  80. Dittmann, Ingolf, 1998. "Fractional cointegration of voting and non-voting shares," Technical Reports 1998,40, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  81. Ghosh, Asim, 1996. "Cross-Hedging Foreign Currency Risk: Empirical Evidence from an Error Correction Model," Review of Quantitative Finance and Accounting, Springer, vol. 6(3), pages 223-231, May.
  82. repec:hal:journl:halshs-00084717 is not listed on IDEAS
  83. repec:ebl:ecbull:v:3:y:2004:i:8:p:1-6 is not listed on IDEAS
  84. Aggarwal, Raj & Mougoue, Mbodja, 1998. "Common Stochastic Trends among Asian Currencies: Evidence for Japan, ASEANs, and the Asian Tigers," Review of Quantitative Finance and Accounting, Springer, vol. 10(2), pages 193-206, March.
  85. Jeon, Bang Nam & Seo, Byeongseon, 2003. "The impact of the Asian financial crisis on foreign exchange market efficiency: The case of East Asian countries," Pacific-Basin Finance Journal, Elsevier, vol. 11(4), pages 509-525, September.
  86. Abul M.M. Masih & Rumi Masih, 1998. "A Fractional Cointegration Approach to Testing Mean Reversion Between Spot and Forward Exchange Rates: A Case of High Frequency Data with Low Frequency Dynamics," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 25(7&8), pages 987-1003.
  87. Frank S. Nielsen, 2011. "Local Whittle estimation of multi‐variate fractionally integrated processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(3), pages 317-335, 05.
  88. Michael KUEHL, "undated". "Strong Comovements of Exchange Rates: Theoretical and Empirical Cases when Currencies Become the Same Asset," EcoMod2008 23800071, EcoMod.
  89. repec:ebl:ecbull:v:30:y:2010:i:1:p:115-129 is not listed on IDEAS
  90. Shi-Miin Liu & Chih-Hsien Chou, 2003. "Parities and Spread Trading in Gold and Silver Markets: A Fractional Cointegration Analysis," Applied Financial Economics, Taylor & Francis Journals, vol. 13(12), pages 899-911.
  91. Heni Boubaker, 2016. "A Comparative Study of the Performance of Estimating Long-Memory Parameter Using Wavelet-Based Entropies," Computational Economics, Springer;Society for Computational Economics, vol. 48(4), pages 693-731, December.
  92. Kanas, Angelos, 2005. "Nonlinearity in the stock price-dividend relation," Journal of International Money and Finance, Elsevier, vol. 24(4), pages 583-606, June.
  93. DeGennaro, Ramon P & Kunkel, Robert A & Lee, Junsoo, 1994. "Modeling International Long-Term Interest Rates," The Financial Review, Eastern Finance Association, vol. 29(4), pages 577-597, November.
  94. Jeng, Jau-Lian, 1999. "Interest parity, fractional differencing, and the strength of attraction: a reexamination of the cost-of-carry futures pricing model," Global Finance Journal, Elsevier, vol. 10(1), pages 25-34.
  95. Sjoo, Boo & Sweeney, Richard J., 2001. "The foreign-exchange costs of central bank intervention: evidence from Sweden," Journal of International Money and Finance, Elsevier, vol. 20(2), pages 219-247, April.
  96. 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.
  97. 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.
  98. Tse, Y. K. & Ng, L. K., 1997. "The cointegration of Asian currencies revisited," Japan and the World Economy, Elsevier, vol. 9(1), pages 109-114, March.
  99. Méndez Parra, Maximiliano, 2015. "Futures prices, trade and domestic supply of agricultural commodities," Economics PhD Theses 0115, Department of Economics, University of Sussex.
  100. McCrae, Michael, et al, 2002. "Can Cointegration-Based Forecasting Outperform Univariate Models? An Application to Asian Exchange Rates," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(5), pages 355-380, August.
  101. Davidson, James & Terasvirta, Timo, 2002. "Long memory and nonlinear time series," Journal of Econometrics, Elsevier, vol. 110(2), pages 105-112, October.
  102. Marie-Josée Godbout & Simon van Norden, 1997. "Reconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples," Staff Working Papers 97-1, Bank of Canada.
  103. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
  104. Michael J. 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.
  105. Javier Hualde & Peter M Robinson, 2006. "Root-N-Consistent Estimation Of Weakfractional Cointegration," STICERD - Econometrics Paper Series 499, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  106. Norman C. Miller, 2014. "Exchange Rate Economics," Books, Edward Elgar Publishing, number 14981.
  107. Camilo Serrano & Martin Hoesli, 2012. "Fractional Cointegration Analysis of Securitized Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 44(3), pages 319-338, April.
  108. Mun, Kyung-Chun & Morgan, George Emir, 2003. "Risk premia on foreign exchange: a direct approach," Journal of Multinational Financial Management, Elsevier, vol. 13(3), pages 231-250, July.
  109. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004. "Fractional cointegration and real exchange rates," Review of Financial Economics, Elsevier, vol. 13(4), pages 327-340.
  110. Munehisa Kasuya & Kozo Ueda, 2000. "Testing the Purchasing Power Parity Hypothesis: Re-examination by Additional Variables, Tests with Known Cointegrating Vectors, Monte Carlo Critical Values, and Fractional Cointegration," Bank of Japan Working Paper Series Research and Statistics D, Bank of Japan.
  111. repec:got:cegedp:68 is not listed on IDEAS
  112. Aggarwal, Raj & Mougoue, Mbodja, 1996. "Cointegration among Asian currencies: Evidence of the increasing influence of the Japanese yen," Japan and the World Economy, Elsevier, vol. 8(3), pages 291-308, September.
  113. Pan, Ming-Shiun & Liu, Y. Angela, 1999. "Fractional cointegration, long memory, and exchange rate dynamics," International Review of Economics & Finance, Elsevier, vol. 8(3), pages 305-316, September.
  114. Dark, Jonathan, 2015. "Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 269-285.
  115. Mohamed Boutahar & Imene Mootamri & Anne Peguin-Feissolle, 2007. "An exponential FISTAR model applied to the US real effective exchange rate," Working Papers halshs-00353836, HAL.
  116. Dittmann, Ingolf, 1998. "Residual-based tests for fractional cointegration: A Monte Carlo study," Technical Reports 1998,09, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  117. A. Yuce & C. Simga-Mugan, 1996. "An investigation of the short- and long-term relationships between Turkish financial markets," The European Journal of Finance, Taylor & Francis Journals, vol. 2(4), pages 305-317.
  118. Jose A. Lopez, 1996. "Exchange rate cointegration across central bank regime shifts," Research Paper 9602, Federal Reserve Bank of New York.
  119. Gil-Alana, Luis A., 2004. "Modelling the U.S. interest rate in terms of I(d) statistical models," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(4), pages 475-486, September.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.