Andreas Dechert

University of Würzburg - Institute of Economics and Social Sciences

Sanderring 2

Wuerzburg, D-97070

Germany

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Scholarly Papers (1)

1.

Variance Ratio Testing for Fractional Cointegration in Presence of Trends and Trend Breaks

Number of pages: 19 Posted: 04 Sep 2012
Andreas Dechert
University of Würzburg - Institute of Economics and Social Sciences
Downloads 119 (178,191)

Abstract:

fractional integration, fractional cointegration, long memory, variance ratio, nonparametric, trend breaks, market expectation hypothesis, interest rates