Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Lovcha, … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013
found to characterise the Canadian dollar, the British pound and the euro, but in all four cases the results are consistent … four major currencies (namely, the Canadian dollar, the euro, the Japanese yen and the British pound). An innovative … approach based on fractional integration in a multivariate context is applied to annual data from 1970 to 2011. Long memory is …