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Explaining the European exchange rates deviations: Long memory or non-linear adjustment? · Study

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ArticleExplaining the European exchange rates deviations: Long memory or non-linear adjustment?

Gilles Dufrénot2006

Article2006

Explaining the European exchange rates deviations: Long memory or non-linear adjustment?

Gilles Dufrénot · Sandrine Lardic · Valérie Mignon · Anne Péguin-Feissolle

36 citations·0/0 files stored·Journal of International Financial Markets Institutions and Money

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Monetary Policy and Economic Impact Global Financial Crisis and Policies Financial Risk and Volatility Modeling

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References

1990Noise Trader Risk in Financial Markets 1994Comparing Predictive Accuracy 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS 1991Long-Term Memory in Stock Market Prices 1989Long-term Memory in Stock Market Prices 2001Long memory and regime switching 1992Maximum likelihood estimation of stationary univariate fractionally integrated time series models 1998Exchange Rates and Economic Fundamentals: A Methodological Comparison of Beers and Feers

Cited by

2009Nonlinear adjustment of the real exchange rate towards its equilibrium value: A panel smooth transition error correction modelling 2013Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate 2008Nonlinearities or outliers in real exchange rates?2018Real exchange rate and asymmetric shocks in the West African Monetary Zone (WAMZ)2011Purchasing power parity and the long memory properties of real exchange rates: Does one size fit all?

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Year2006

Typearticle

Published2006-10-19

VenueJournal of International Financial Markets Institutions and Money

ISSN-L1042-4431

Languageen

Citations36

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/j.intfin.2006.09.004

openalex_workW2013834357

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2013

Southeast Asian monetary integration: New evidences from fractional cointegration of real exchange rates