%0 Journal Article %1 baillie1994cointegration %A BAILLIE, RICHARD T. %A BOLLERSLEV, TIM %D 1994 %I Blackwell Publishing Ltd %J The Journal of Finance %K cointegration empirical exchange fractional rate %N 2 %P 737--745 %R 10.1111/j.1540-6261.1994.tb05161.x %T Cointegration, Fractional Cointegration, and Exchange Rate Dynamics %U http://dx.doi.org/10.1111/j.1540-6261.1994.tb05161.x %V 49 %X Multivariate tests due to Johansen (1988, 1991) as implemented by Baillie and Bollerslev (1989a) and Diebold, Gardeazabal, and Yilmaz (1994) reveal mixed evidence on whether a group of exchange rates are cointegrated. Further analysis of the deviations from the cointegrating relationship suggests that it possesses long memory and may possibly be well described as a fractionally integrated process. Hence, the influence of shocks to the equilibrium exchange rates may only vanish at very long horizons.

@article{baillie1994cointegration, abstract = {Multivariate tests due to Johansen (1988, 1991) as implemented by Baillie and Bollerslev (1989a) and Diebold, Gardeazabal, and Yilmaz (1994) reveal mixed evidence on whether a group of exchange rates are cointegrated. Further analysis of the deviations from the cointegrating relationship suggests that it possesses long memory and may possibly be well described as a fractionally integrated process. Hence, the influence of shocks to the equilibrium exchange rates may only vanish at very long horizons.}, added-at = {2013-03-15T21:30:31.000+0100}, author = {BAILLIE, RICHARD T. and BOLLERSLEV, TIM}, biburl = {https://www.bibsonomy.org/bibtex/21349bd83746f826e9d344277eeb6f3f9/jp}, description = {Cointegration, Fractional Cointegration, and Exchange Rate Dynamics - BAILLIE - 2012 - The Journal of Finance - Wiley Online Library}, doi = {10.1111/j.1540-6261.1994.tb05161.x}, interhash = {90a8eba3c1b64b563a1c56d273afaf5f}, intrahash = {1349bd83746f826e9d344277eeb6f3f9}, issn = {1540-6261}, journal = {The Journal of Finance}, keywords = {cointegration empirical exchange fractional rate}, number = 2, pages = {737--745}, publisher = {Blackwell Publishing Ltd}, timestamp = {2013-03-15T21:30:31.000+0100}, title = {Cointegration, Fractional Cointegration, and Exchange Rate Dynamics}, url = {http://dx.doi.org/10.1111/j.1540-6261.1994.tb05161.x}, volume = 49, year = 1994 }