Department of Economics, Michigan State University and Department of Finance, Northwestern University, respectively. We are grateful for discussions with Mark Watson and for the very helpful comments from René Stulz and the referees on an earlier version of the paper. Paula Nielsen and Angie Campbell did an excellent job typing the manuscript. Any remaining errors are the authors' responsibility.
Common Stochastic Trends in a System of Exchange Rates
Article first published online: 30 APR 2012
1989 The American Finance Association
The Journal of Finance
Volume 44, Issue 1, pages 167–181, March 1989
How to Cite
BAILLIE, R. T. and BOLLERSLEV, T. (1989), Common Stochastic Trends in a System of Exchange Rates. The Journal of Finance, 44: 167–181. doi: 10.1111/j.1540-6261.1989.tb02410.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
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