A fractional cointegration var analysis of exchange rate dynamics
Year of publication: |
2020
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Authors: | Gil-Alaña, Luis A. ; Carcel, Hector |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 51.2020, p. 1-9
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Subject: | Cointegration | Exchange rates | FCVAR model | Long memory | Kointegration | Wechselkurs | Exchange rate | Zeitreihenanalyse | Time series analysis | VAR-Modell | VAR model | Theorie | Theory | Volatilität | Volatility | Kaufkraftparität | Purchasing power parity |
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