Cointegration, Fractional Cointegration, and Exchange Rate Dynamics
Publication
, Journal Article
BAILLIE, RT; BOLLERSLEV, T
Published in: Journal of Finance
January 1, 1994
Multivariate tests due to Johansen (1988, 1991) as implemented by Baillie and Bollerslev (1989a) and Diebold, Gardeazabal, and Yilmaz (1994) reveal mixed evidence on whether a group of exchange rates are cointegrated. Further analysis of the deviations from the cointegrating relationship suggests that it possesses long memory and may possibly be well described as a fractionally integrated process. Hence, the influence of shocks to the equilibrium exchange rates may only vanish at very long horizons. 1994 The American Finance Association
Duke Scholars
Published In
Journal of Finance
DOI
EISSN
1540-6261
ISSN
0022-1082
Publication Date
January 1, 1994
Volume
49
Issue
2
Start / End Page
737 / 745
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment
Citation
APA
Chicago
ICMJE
MLA
NLM
BAILLIE, R. T., & BOLLERSLEV, T. (1994). Cointegration, Fractional Cointegration, and Exchange Rate Dynamics. Journal of Finance, 49(2), 737–745. https://doi.org/10.1111/j.1540-6261.1994.tb05161.x
BAILLIE, R. T., and T. BOLLERSLEV. “Cointegration, Fractional Cointegration, and Exchange Rate Dynamics.” Journal of Finance 49, no. 2 (January 1, 1994): 737–45. https://doi.org/10.1111/j.1540-6261.1994.tb05161.x.
BAILLIE RT, BOLLERSLEV T. Cointegration, Fractional Cointegration, and Exchange Rate Dynamics. Journal of Finance. 1994 Jan 1;49(2):737–45.
BAILLIE, R. T., and T. BOLLERSLEV. “Cointegration, Fractional Cointegration, and Exchange Rate Dynamics.” Journal of Finance, vol. 49, no. 2, Jan. 1994, pp. 737–45. Scopus, doi:10.1111/j.1540-6261.1994.tb05161.x.
BAILLIE RT, BOLLERSLEV T. Cointegration, Fractional Cointegration, and Exchange Rate Dynamics. Journal of Finance. 1994 Jan 1;49(2):737–745.
Published In
Journal of Finance
DOI
EISSN
1540-6261
ISSN
0022-1082
Publication Date
January 1, 1994
Volume
49
Issue
2
Start / End Page
737 / 745
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment