Nonlinearity and fractional integration in the US dollar/euro exchange rate
This paper examines the nonlinear behavior and the fractional integration property of the US dollar/euro exchange rate over the period from January 1999 to August 2010 by extending the procedure of Peter M. Robinson (1994) to the case of nonlinearity. First, using the approach developed by Mehmet...
Main Author: | Kiran Burcu |
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Format: | Article |
Language: | English |
Published: |
Economists' Association of Vojvodina
2012-01-01
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Series: | Panoeconomicus |
Subjects: | |
Online Access: | http://www.doiserbia.nb.rs/img/doi/1452-595X/2012/1452-595X1203325K.pdf |
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