Bivariate FIGARCH and fractional cointegration

Journal of Empirical Finance

Volumn 7, Issue 5, 2000, Pages 509-530

  Brunetti, Celso ^a   Gilbert, Christopher L ^b  

^a UNIVERSITY OF EDINBURGH   (United Kingdom)

^b VU UNIVERSITY AMSTERDAM   (Netherlands)

Author keywords

C2; C3; ECM; FIGARCH; Fractional cointegration; G0

Indexed keywords

EID: 0041684864     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-5398(00)00021-9     Document Type: Article

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