Cointegration of Stochastic Multifractals with Application to Foreign Exchange Rates

Publication Type

Journal Article

Publication Date

2000

Abstract

The existing concept of cointegration applies to integrated processes (in the Box-Jenkins ARIMA framework) or processes with long-range dependence. These processes are assumed to display a monoscaling behaviour (such as that of a fractional Brownian motion). On the other hand, many turbulent processes are known to be intermittent, hence possess multiscaling characteristics. This paper develops a concept of cointegration for these stochastic multifractals. A model is suggested for testing for cointegration and applied to the exchange rates of three major currencies.

Discipline

Economics

Research Areas

Econometrics

Publication

International Transactions in Operational Research

Volume

7

Issue

4-5

First Page

349

Last Page

363

ISSN

0969-6016

Identifier

10.1111/j.1475-3995.2000.tb00204.x

Publisher

Wiley

Additional URL

https://doi.org/10.1111/j.1475-3995.2000.tb00204.x

This document is currently not available here.

Share

COinS