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What is new about covered interest parity condition in the European Union? Evidence from fractal cross-correlation regressions

  • Published:2017-11 Issue: Volume:486 Page:554-566
  • ISSN:0378-4371
  • Container-title:Physica A: Statistical Mechanics and its Applications
  • language:en
  • Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Ferreira Paulo,Kristoufek Ladislav

Funder

Fundação para a Ciência e a Tecnologia

FEDER/COMPETE

Czech Science Foundation

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference44 articles.

1. Monetary integration in the European Union–Measurement and Determination;Lemmen,1996

2. Measuring international capital mobility: A review;Frankel;Amer. Econ. Rev.,1992

3. Detrended fluctuation analysis as a regression framework: Estimating dependence at different scales;Kristoufek;Phys. Rev. E,2015

4. Scaling of dependence between foreign exchange rates and stock markets in Central Europe;Kristoufek;Acta Phys. Polon. A,2016

5. Interpreting deviations from covered interest parity during the financial market turmoil of 2007–08;Baba;J. Bank. Financ.,2009

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