Berben, R-P.; Dijk, D.J.C. van - Erasmus University Rotterdam, Econometric Institute - 1998
such as exchange rates and stock returns at longer horizons. This fact is based upon applications of long horizon …-statistic, and the regression R^2 all tend to increase as the horizon increases. Such long horizon regression analyses implicitly … dropping this assumption. In particular, we look upon the long horizon regression as a conditional error-correction model and …