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Cointegration, Fractional Cointegration, and Exchange Rate Dynamics

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
1988Statistical analysis of cointegration vectors17,038 cited
1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems5,042 cited
1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
1981Fractional Differencing2,720 cited
1981Some properties of time series data and their use in econometric model specification2,406 cited
1990Asymptotic Properties of Residual Based Tests for Cointegration1,980 cited
1987Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors1,471 cited
1980Long memory relationships and the aggregation of dynamic models1,448 cited
2002The Message in Daily Exchange Rates791 cited
1989The Message in Daily Exchange Rates: A Conditional-Variance Tale647 cited
1989Common Stochastic Trends in a System of Exchange Rates626 cited
1991Cointegration: how short is the long run?564 cited
1989Long memory and persistence in aggregate output

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546 cited

1991On the power of Dickey-Fuller tests against fractional alternatives511 cited

Cited by

1997High frequency data in financial markets: Issues and applications411 cited
2001An Empirical Analysis of Data Requirements for Financial Forecasting with Neural Networks238 cited
1994The long memory of the forward premium212 cited
2008On the Robustness of Robustness Checks of the Environmental Kuznets Curve Hypothesis197 cited
1999Optimal hedging using cointegration189 cited
1999Using wavelets to obtain a consistent ordinary least squares estimator of the long-memory parameter156 cited
2006Technical Trading-Rule Profitability, Data Snooping, and Reality Check: Evidence from the Foreign Exchange Market149 cited
2000Long-Range Dependence in Daily Stock Volatilities142 cited
1994Foreign exchange market efficiency and common stochastic trends136 cited
1996Estimating a generalized long memory process134 cited
2009Fractional Integration and Cointegration: An Overview and an Empirical Application124 cited
2005Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting122 cited
1998Maximum-Likelihood Estimation of Fractional Cointegration with an Application to U.S. and Canadian Bond Rates113 cited
2002Inference on the cointegration rank in fractionally integrated processes113 cited
2000Bivariate FIGARCH and fractional cointegration111 cited
2005Long-Term Co-Memories and Short-Run Adjustment: Securitized Real Estate and Stock Markets111 cited