Fractional cointegration, long memory, and exchange rate dynamics

International Review of Economics and Finance

Volumn 8, Issue 3, 1999, Pages 305-316

  Pan, Ming Shiun ^a   Liu, Y Angela ^b  

^a SHIPPENSBURG UNIVERSITY   (United States)

^b NATIONAL CHUNG CHENG UNIVERSITY   (Taiwan)

Author keywords

Foreign exchange rates; Fractional cointegration; Long memory

Indexed keywords

EID: 0033196334     PISSN: 10590560     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1059-0560(99)00027-1     Document Type: Article

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