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The PPP hypothesis revisited : evidence using a multivariate long-memory model
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Lovcha, … - 2013
Persistent link: https://www.econbiz.de/10009731975
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The PPP hypothesis revisited : evidence using a multivariate long-memory model
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Lovcha, … - 2013
This paper examines the PPP hypothesis analysing the behaviour of the real exchange rates vis-à-vis the US dollar for … with the relative version of PPP. -- PPP ; long memory ; multivariate fractional integration …
Persistent link: https://www.econbiz.de/10009735759
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The PPP Hypothesis Revisited : Evidence Using a Multivariate Long-Memory Model
Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Lovcha, … - 2013
This paper examines the PPP hypothesis analysing the behaviour of the real exchange rates vis-à-vis the US dollar for … with the relative version of PPP …
Persistent link: https://www.econbiz.de/10014158955
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Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis
Karanasos, Menelaos; Yfanti, Stavroula; Karoglou, Michail - In: International review of financial analysis 45 (2016), pp. 332-349
Persistent link: https://www.econbiz.de/10011583871
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Exchange rates dynamics revisited : a panel data test of the fractional integration order
Andersson, Fredrik N. G. - In: Empirical economics : a journal of the Institute for … 47 (2014) 2, pp. 389-409
Persistent link: https://www.econbiz.de/10010391171
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A fractional cointegration var analysis of exchange rate dynamics
Gil-Alaña, Luis A.; Carcel, Hector - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-9
Persistent link: https://www.econbiz.de/10012658798
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A non-linear multivariate model of the UK real exchange rate
Milas, Costas - 2001
Persistent link: https://www.econbiz.de/10001636887
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Non-linear adjustments to intranational PPP
Woo, Kai-yin; Lee, Shu-kam; Chan, Alan - In: Journal of macroeconomics 40 (2014), pp. 360-371
Persistent link: https://www.econbiz.de/10010496457
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Smooth structural breaks and the stationarity of the yen real exchange rates
Zhou, Su; Kutan, Ali Mustafa - In: Applied economics 46 (2014) 10/12, pp. 1150-1159
Persistent link: https://www.econbiz.de/10010399378
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Testing PPP hypothesis under temporary structural breaks and asymmetric dynamic adjustments
Omay, Tolga; Shahbaz, Muhammed; Hasanov, Mübariz - In: Applied economics 52 (2020) 32, pp. 3479-3497
Persistent link: https://www.econbiz.de/10012258948