The 3 linked references in paper John Barkoulas, Christopher F. Baum, Gurkan S. Oguz (1996) “Fractional Cointegration Analysis of Long Term International Interest Rates” / RePEc:boc:bocoec:315

  1. Baillie, R. T. and T. Bollerslev (1989), Common Stochastic Trends in a System of
  2. Baillie, R. T. and T. Bollerslev (1994), Cointegration, Fractional Cointegration and
  3. Diebold, F. X., J. Gardeazabal and K. Yilmaz (1994), On Cointegration and Exchange