Fractional integration and cointegration in stock prices and exchange rates
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- Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne Peguin-Feissolle, 2010. "Fractional integration and cointegration in stock prices and exchange rates," Working Papers halshs-00536140, HAL.
References listed on IDEAS
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Cited by:
- West, Kenneth D., 2012.
"Econometric analysis of present value models when the discount factor is near one,"
Journal of Econometrics, Elsevier, vol. 171(1), pages 86-97.
- Kenneth D. West, 2012. "Econometric Analysis of Present Value Models When the Discount Factor Is near One," NBER Working Papers 18247, National Bureau of Economic Research, Inc.
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Keywords
fractional cointegration; long memory; stock prices; exchange rates;All these keywords.
JEL classification:
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- F3 - International Economics - - International Finance
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