A Fractional Cointegration Approach to Testing Mean Reversion Between Spot and Forward Exchange Rates: A Case of High Frequency Data with Low Frequency Dynamics
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DOI: 10.1111/1468-5957.00222
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Cited by:
- Breitung, Jorg & Hassler, Uwe, 2002.
"Inference on the cointegration rank in fractionally integrated processes,"
Journal of Econometrics, Elsevier, vol. 110(2), pages 167-185, October.
- Breitung, Jörg & Hassler, Uwe, 2000. "Inference on the cointegration rank in fractionally integrated processes," SFB 373 Discussion Papers 2000,65, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Breitung, Jörg & Hassler, Uwe, 2002. "Inference on the cointegration rank in fractionally integrated processes," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 9323, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Joerg Breitung and Uwe Hassler, 2001. "Inference on the Cointegration Rank in Fractionally Integrated Processes," Computing in Economics and Finance 2001 233, Society for Computational Economics.
- Masih, Abul M. M. & Masih, Rumi, 1999. "Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 7(3-4), pages 251-282, August.
- Hassler, U. & Marmol, F. & Velasco, C., 2006.
"Residual log-periodogram inference for long-run relationships,"
Journal of Econometrics, Elsevier, vol. 130(1), pages 165-207, January.
- Hassler, Uwe & Marmol, Francesc & Velasco, Carlos, 2002. "Residual Log-Periodogram Inference for Long-Run-Relationships," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 37317, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Hassler, Uwe & Marmol, Francesc & Velasco, Carlos, 2009. "Residual Log-Periodogram Inference for Long-Run-Relationships," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 77562, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Hassler, Uwe & Marmol, Francesc & Velasco, Carlos, 2002. "Residual Log-Periodogram Inference for Long-Run Relationships," Darmstadt Discussion Papers in Economics 115, Darmstadt University of Technology, Department of Law and Economics.
- Hassler, Uwe & Marmol, Francesc & Velasco, Carlos, 2002. "Residual log-periodogram inference for long-run relationships," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 18289, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Hassler, Uwe & Breitung, Jörg, 2002.
"A Residual-Based LM Test for Fractional Cointegration,"
Publications of Darmstadt Technical University, Institute for Business Studies (BWL)
37318, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Hassler, Uwe & Breitung, Jörg, 2009. "A Residual-Based LM Test for Fractional Cointegration," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 77555, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Hassler, Uwe & Breitung, Jörg, 2002. "A Residual-Based LM Test for Fractional Cointegration," Darmstadt Discussion Papers in Economics 114, Darmstadt University of Technology, Department of Law and Economics.
- Uwe Hassler & Francesc Marmol & Carlos Velasco, 2008. "Fractional cointegration in the presence of linear trends," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(6), pages 1088-1103, November.
- Khasanov, Khush & Masih, Mansur, 2016. "Macroeconomic variables and oil price: evidence from Turkey," MPRA Paper 110192, University Library of Munich, Germany.
- Moore, Michael J. & Roche, Maurice J., 2001.
"Liquidity in the forward exchange market,"
Journal of Empirical Finance, Elsevier, vol. 8(2), pages 157-170, May.
- Michael J Moore; & Maurice Roche, 1995. "Liquidity in the Forward Exchange Market," Economics Department Working Paper Series n580795, Department of Economics, National University of Ireland - Maynooth.
- Dzanan, Haris & Masih, Mansur, 2017. "Does currency depreciation necessarily result in positive trade balance ? new evidence from Norway," MPRA Paper 82103, University Library of Munich, Germany.
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