Essays about: "fractional cointegration"
Found 1 essay containing the words fractional cointegration.
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1. Fractional Cointegration and Price Discovery in FX Markets
University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomiAbstract : I employ bivariate fractionally cointegrated vector autoregressive models to analyze price discovery on the EUR/GBP market. Using daily spot rates between 2010 and 2022 along with corresponding one-month and three-month forward rates, I extract parameter estimates for pairwise long-run relationships, each pair containing a spot and a forward. READ MORE
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