Explaining the European exchange rates deviations: Long memory or non-linear adjustment?

Journal of International Financial Markets, Institutions and Money

Volumn 18, Issue 3, 2008, Pages 207-215

  Dufrénot, Gilles ^a   Lardic, Sandrine ^b   Mathieu, Laurent ^c   Mignon, Valérie ^b,d   Péguin Feissolle, Anne ^e  

^a UNIVERSITÉ PARIS EST CRÉTEIL   (France)

^b UNIVERSITÉ PARIS OUEST NANTERRE LA DÉFENSE   (France)

^c LABORATOIRE DES SCIENCES DU CLIMAT ET DE L ENVIRONNEMENT   (France)

^d CEPII   (France)

^e Centre National de la Recherche Scientifique   (France)

Author keywords

Exchange rates; Fractional cointegration; Non linear cointegration

Indexed keywords

EID: 42149179234     PISSN: 10424431     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.intfin.2006.09.004     Document Type: Article

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