This paper uses fractional integration and cointegration in order to model the DM/dollar and the yen/dollar real …. -- fractional integration ; fractional cointegration ; real exchange rates …

following the classical approach based on I(0) stationarity or I(1) cointegrating relationships, we use fractional integration/cointegration … three variables are I(1). But we only find cointegration in the presence of autocorrelated disturbances, which means that … opposed to classical cointegration, which implies long memory and slow reversion to equilibrium. This suggests that an …

the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Monte Carlo simulations … (EMH) ; Present Value (PV) models ; fractional cointegration …