The 7 linked references in paper Christopher F. Baum, John Barkoulas (2001) “Dynamics of Intra-EMS Interest Rate Linkages” / RePEc:boc:bocoec:492

  1. Baillie, Richard T. (1996) “Long memory processes and fractional integration in econometrics.” Journal of Econometrics, 73, 5-59.
  2. Granger, Clive W.J. (1986) “Developments in the study of cointegrated economic variables.” Oxford Bulletin of Economics and Statistics, 48, 213-228.
  3. European Monetary System: A time series analysis.” Journal of Money, Credit, and Banking, 22, 388-394.
  4. European Monetary System: Further analysis.” Journal of Money, Credit, and Banking, 25, 771-779.
  5. Korajczyk, Robert A. (1985) “The pricing of forward contracts for forward exchange.” Journal of Political Economy, 93, 346-368.
  6. Shively, Philip A. (2000) “Stationary time-varying risk premia in forward foreign exchange rates.” Journal of International Money and Finance, 19, 273-288.
  7. Wolff, Christian P. (1987) “Forward foreign exchange rates, expected spot rates and premia: A signal extraction approach.” Journal of Finance, 42, 395-406.