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Exchange rates and fundamentals : co-movement, long-run relationships and short-run dynamics

Bekiros, Stelios D. - In: Journal of banking & finance 39 (2014), pp. 117-134

Persistent link: https://www.econbiz.de/10010340766

Testing the long run effect of investment on output in the presence of cointegration

Lau, Sau-Him Paul - 1996

Persistent link: https://www.econbiz.de/10000603211

Long-run identification in a fractionally integrated system

Tschernig, Rolf; Weber, Enzo; Weigand, Roland - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 4, pp. 438-450

Persistent link: https://www.econbiz.de/10010337858

Asset Returns and Macro Risks in the Long-Run : A Low-Frequency Econometrics Analysis

Wang, Xiaoliang - 2022

In this paper, I identify the long-run risks (LRR) in the frequency domain, and further estimate the macro (consumption) risk premia in different frequency ranges. To achieve the identification, I employ the long-run projections and the associated inference procedure for I(0) process developed...

Persistent link: https://www.econbiz.de/10014238669