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• W1991569602 abstract "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." @default.
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• W1991569602 date "2000-09-01" @default.
• W1991569602 modified "2023-10-12" @default.
• W1991569602 title "Cointegration of stochastic multifractals with application to foreign exchange rates" @default.
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• W1991569602 doi "https://doi.org/10.1111/j.1475-3995.2000.tb00204.x" @default.
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