Generalized long memory processes, failu
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Aaron D. Smallwood; Stefan C. Norrbin
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Article
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2006
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John Wiley and Sons
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English
β 88 KB
## Abstract This paper presents evidence that the equilibrium relationship in a system of nominal exchange rates is best described as a stationary GARMA process. The implementation of the GARMA methodology helps explain conflicting and puzzling results from the use of linear cointegration and fract