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Non-Linear Cointegration in Foreign Exchange

Bernt P. Stigum

in Econometrics in a Formal Science of Economics: Theory and the Measurement of Economic Relations

Published in print:
2014
Published Online:
September 2015
ISBN:
9780262028585
eISBN:
9780262323109
Item type:
chapter
Publisher:
The MIT Press
DOI:
10.7551/mitpress/9780262028585.003.0008
Subject:
Economics and Finance, Econometrics

Chapter VIII presents a novel mathematical theory of non-linear cointegration among second-order random processes. It begins by explaining why the accepted characterization of integrated second-order ... More


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