Ballie is from Michigan State University and Bollerslev is from Northwestern University and NBER. The authors would like to thank an anonymous referee, Frank Diebold and René Stulz (the editor) for helpful comments.
Cointegration, Fractional 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 737–745, June 1994
How to Cite
BAILLIE, R. T. and BOLLERSLEV, T. (1994), Cointegration, Fractional Cointegration, and Exchange Rate Dynamics. The Journal of Finance, 49: 737–745. doi: 10.1111/j.1540-6261.1994.tb05161.x
- Issue online: 30 APR 2012
- Version of Record online: 30 APR 2012
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