Diebold is from the University of Pennsylvania, Gardeazabal is from the Universidad del Pais Vasco, and Yilmaz is from the University of Maryland. Helpful comments were received from the editor, René Stulz, and a referee, and from seminar participants at the North American Winter Meetings of the Econometric Society, the London School of Economics, the XVI Simposio de Análisis Economico (Barcelona), the University of Maryland, and the Penn Macro Lunch Group. We also thank Richard Baillie, Tim Bollerslev, Ken Kasa, Karen Lewis, Masao Ogaki, and Marta Regulez for useful comments. All remaining shortcomings are ours alone. The data were generously provided by Tim Bollerslev. We gratefully acknowledge financial support from the National Science Foundation, the Sloan Foundation, the University of Pennsylvania Research Foundation, and the Federal Reserve Bank of Philadelphia.
On Cointegration and Exchange Rate Dynamics
Article first published online: 30 APR 2012
1994 The American Finance Association
The Journal of Finance
Volume 49, Issue 2, pages 727–735, June 1994
How to Cite
DIEBOLD, F. X., GARDEAZABAL, J. and YILMAZ, K. (1994), On Cointegration and Exchange Rate Dynamics. The Journal of Finance, 49: 727–735. doi: 10.1111/j.1540-6261.1994.tb05160.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
Options for accessing this content:
- Login via other institutional login options http://onlinelibrary.wiley.com/login-options.
- You can purchase online access to this Article for a 24-hour period (price varies by title)
- New Users: Please register, then proceed to purchase the article.
Registered Users please login:
- Access your saved publications, articles and searches
- Manage your email alerts, orders and subscriptions
- Change your contact information, including your password
Please register to:
- Save publications, articles and searches
- Get email alerts
- Get all the benefits mentioned below!