Aloy, Marcel; Boutahar, Mohamed; Gente, Karine; … - In: Economics Bulletin 30 (2010) 1, pp. 115-129
This paper examines the relationships between the CAC40 index, the Dow Jones index and the Euro/USD exchange rate using daily data over the period 1999-2008. We find that these variables are I(1) nonstationary series, but they are fractionally cointegrated: equilibrium errors exhibit slow mean...
