Elder, John; Jin, Hyun Joung; Koo, Won W. - Agricultural and Applied Economics Association - AAEA - 2004
This paper reexamines foreign currency markets for evidence of fractional integration, and extends the extant literature in several important dimensions. First, we utilize a new semiparametric wavelet-based estimator, which is far superior to the more prevalent GPH estimator on the basis of mean...
