Fractional cointegration and tests of present value models

Review of Financial Economics

Volumn 13, Issue 3, 2004, Pages 245-258

  Caporale, Guglielmo Maria ^a   Gil Alana, Luis A ^b  

^a LONDON SOUTH BANK UNIVERSITY   (United Kingdom)

^b UNIVERSITY OF NAVARRA   (Spain)

Author keywords

Efficient Markets Hypothesis (EMH); Fractional cointegration; Fractional integration; Present value (PV) models

Indexed keywords

EID: 2342440263     PISSN: 10583300     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.rfe.2003.09.009     Document Type: Article

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