16
Views
3
CrossRef citations to date
0
Altmetric
Original Articles

A note on fractional cointegration

Pages 683-685 | Published online: 05 Oct 2010

References

  • Agiakloglou , C. , Newbold , P. and Wohar , M. 1993 . Bias in an estimator of the fractional differencing parameter . Journal of Times Series Analysis , 14 : 235 – 246 .
  • Baillie , R. T. and Bollerslev , T. 1989a . Common stochastic trends in a system of exchange rates . Journal of Finance , 44 : 167 – 181 .
  • Baillie , R. T. and Bollerslev , T. 1989b . The message in daily exchange rates: a conditional variance tale . Journal of Business and Economic Statistics , 7 : 297 – 305 .
  • Baillie , R. T. and Bollerslev , T. 1994 . Cointegration, fractional cointegration and exchange rate dynamics . Journal of Finance , 49 : 737 – 745 .
  • Cheung , Y. W. and Lai , K. S. 1993 . A fractional cointegration analysis of purchasing power parity . Journal of Buisiness and Economic Statistics , 11 : 103 – 112 .
  • Chung , C. F. and Baillie , R. T. 1993 . Small sample bias in conditional sums of squares estimation of fractionally integrated ARMA models . Empirical Economics , 18 : 791 – 806 .
  • Diebold , F. X. , Gardeazabal , J. and Yilmaz , K. 1994 . On cointegration and exchange rate dynamics . Journal of Finance , 49 : 727 – 735 .
  • Geweke , J. and Porter-Hudak , S. 1983 . The estimation and application of long-memory time series models . Journal of Time Series Analysis , 4 : 221 – 238 .
  • Hakkio , C. S. and Rush , M. 1991 . Cointegration: how short is the long-run? . Journal of International Money and Finance , 10 : 571 – 581 .
  • Sephton , P. S. 1993 . Fractional cointegration: Monte Carlo estimates of test size, with an Application mimeo
  • Sephton , P. S. and Larsen , H. K. 1991 . Tests of exchange market efficiency: fragile evidence from cointegration tests . Journal of International Money and Finance , 10 : 561 – 570 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.