The EHTS and the persistence in the spread reconsidered. A fractional cointegration approach

Author:

Vides José Carlos,Golpe Antonio A.,Iglesias Jesús

Funder

USA

US

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference69 articles.

1. Term premium and quantitative easing in a fractionally cointegrated yield curve;Abbritti,2018

2. Testing the expectations hypothesis for the eurozone: A nonlinear cointegration analysis;Araç;Finance Research Letters,2015

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4. Cointegration, fractional cointegration, and exchange rate dynamics;Baillie;The Journal of Finance,1994

5. The long memory of the forward premium;Baillie;Journal of International Money and Finance,1994

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2. Long memory linkages amongst Latin American stock markets. A fractional cointegration approach;Spanish Journal of Finance and Accounting / Revista Española de Financiación y Contabilidad;2021-10-28

3. Fractional cointegration in bitcoin spot and futures markets;Journal of Futures Markets;2021-05-06

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