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Results for fractional cointegration

Publications & Outputs

  1. Return predictability of variance differences: A fractionally cointegrated approach

    Li, Z., Izzeldin, M. & Yao, X., 1/07/2020, In: Journal of Futures Markets. 40, 7, p. 1072-1089 18 p.

    Research output: Contribution to Journal/MagazineJournal articlepeer-review