Fractional cointegration and tests of present value models
Year of publication: |
2000
|
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Authors: | Caporale, Guglielmo Maria ; Gil-AlaƱa, Luis A. |
Publisher: |
Berlin : Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |
Subject: | fractional integration | Efficient Markets Hypothesis (EMH) | Present Value (PV) models | fractional cointegration |
Series: | SFB 373 Discussion Paper ; 2000,15 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 722941625 [GVK] hdl:10419/62168 [Handle] RePEc:zbw:sfb373:200015 [RePEc] |
Classification: | C32 - Time-Series Models ; C22 - Time-Series Models ; G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies |
Source: |
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Fractional cointegration and tests of present value models
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