The DOI matches its Crossref record; 22 of the 22 references it cites were found in a registry or an index.
Cointegration, Fractional Cointegration, and Exchange Rate Dynamics
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.
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Cites
Co-integration and error correction: representation, estimation and testing
Engle, R. F., & Granger, C. W. J. (1987) · Econometrica · doi:10.2307/1913236 · Cited by 32,007
STATISTICAL ANALYSIS OF COINTEGRATION VECTORS
Johansen, S. (1988) · Journal of Economic Dynamics and Control · doi:10.1016/0165-1889(88)90041-3 · Cited by 17,027
Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
Johansen, S. (1991) · Econometrica · doi:10.2307/2938278 · Cited by 11,116
Spurious regressions in econometrics
Granger, C. W. J., & Newbold, P. (1974) · Journal of Econometrics · doi:10.1016/0304-4076(74)90034-7 · Cited by 6,200
A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
Stock, J. H., & Watson, M. W. (1993) · Econometrica · doi:10.2307/2951763 · Cited by 5,013
AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
Granger, C. W. J., & Joyeux, R. (1980) · Journal of Time Series Analysis · doi:10.1111/j.1467-9892.1980.tb00297.x · Cited by 3,370
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Some properties of time series data and their use in econometric model specification
Granger, C. W. J. (1981) · Journal of Econometrics · doi:10.1016/0304-4076(81)90079-8 · Cited by 2,402
Asymptotic Properties of Residual Based Tests for Cointegration
Phillips, P. C. B., & Ouliaris, S. (1990) · Econometrica · doi:10.2307/2938339 · Cited by 1,978
Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
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Cited by
Modeling and pricing long memory in stock market volatility
Bollerslev, T., & Ole Mikkelsen, H. (1996) · Journal of Econometrics · doi:10.1016/0304-4076(95)01736-4 · Cited by 1,208
Self-citationFinancial Development and Economic Growth: The Role of Stock Markets
Arestis, P., Demetriades, P. O., & Luintel, K. B. (2001) · Journal of Money, Credit and Banking · doi:10.2307/2673870 · Cited by 1,110
Nielsen, M. Ø., & Shimotsu, K. (2007) · Journal of Econometrics · doi:10.1016/j.jeconom.2006.10.008 · Cited by 79
How puzzling is the forward premium puzzle? A meta-analysis
Zigraiova, D., Havranek, T., Irsova, Z., & Novak, J. (2021) · European Economic Review · doi:10.1016/j.euroecorev.2021.103714 · Cited by 71
Consistent Testing of Cointegrating Relationships
Marmol, F., & Velasco, C. (2004) · Econometrica · doi:10.1111/j.1468-0262.2004.00554.x · Cited by 50
Metadata
- Authors
- BAILLIE, R. T., & BOLLERSLEV, T.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 1994-06
- Volume
- 49
- Issue
- 2
- Pages
- 737-745
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2167204594
- Cited by
- 363
- References
- 22
- FWCI
- 55.22
- Type
- journal article
- Language
- en
- Open access
- closed
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- BAILLIE, R. T., & BOLLERSLEV, T. (1994). Cointegration, Fractional Cointegration, and Exchange Rate Dynamics. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1994.tb05161.x
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
