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Polynomial Cointegration Between Stationary Processes With Long Memory

✍ Scribed by Marco Avarucci; Domenico Marinucci


Book ID
111040033
Publisher
John Wiley and Sons
Year
2007
Tongue
English
Weight
359 KB
Volume
28
Category
Article
ISSN
0143-9782

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## 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