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Nonlinear co-integration method is discussed. According to the generalized fractal co-integration relationship, one form of nonlinear co-integration is proposed based on GPH (Geweke, Porter-Hudak) method. Using the tests of the long-memory characteristic in finance time series, based on daily price series of RMB exchange rate and Shanghai stock markets from July 22, 2005 to April 24, 2009, empirical...
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