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
Version of Record 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 online: 30 APR 2012
- Version of Record online: 30 APR 2012
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