Publications [#238024] of Tim Bollerslev

Journal Articles

1. BAILLIE, RT; BOLLERSLEV, T, Cointegration, Fractional Cointegration, and Exchange Rate Dynamics, The Journal of Finance, vol. 49 no. 2 (January, 1994), pp. 737-745, WILEY, ISSN 0022-1082 [Gateway.cgi], [doi]
   (last updated on 2024/04/23)

   Abstract:
   Multivariate tests due to Johansen (1988, 1991) as implemented by Baillie and Bollerslev (1989a) and Diebold, Gardeazabal, and Yilmaz (1994) reveal mixed evidence on whether a group of exchange rates are cointegrated. Further analysis of the deviations from the cointegrating relationship suggests that it possesses long memory and may possibly be well described as a fractionally integrated process. Hence, the influence of shocks to the equilibrium exchange rates may only vanish at very long horizons. 1994 The American Finance Association