Maximum-Likelihood Estimation of Fractional Cointegration with an Application to U.S. and Canadian Bond Rates
Author:
Publisher
MIT Press - Journals
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Link
http://www.mitpressjournals.org/doi/pdf/10.1162/003465398557654
Reference17 articles.
1. Long memory processes and fractional integration in econometrics
2. The long memory of the forward premium
3. Long Memory in Foreign-Exchange Rates
4. A Fractional Cointegration Analysis of Purchasing Power Parity
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