Bivariate FIGARCH and fractional cointegration

Celso Brunetti and Christopher L. Gilbert

Journal of Empirical Finance, 2000, vol. 7, issue 5, 509-530

Date: 2000
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Working Paper: Bivariate FIGARCH and Fractional Cointegration (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:7:y:2000:i:5:p:509-530

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