Arbitrage, Covered Interest Parity and Long-Term Dependence between the US Dollar and the Yen
Year of publication: |
2006-04-05
|
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Authors: | Szilagyi, Peter G. ; Batten, Jonathan A. |
Institutions: | Institute for International Integration Studies (IIIS), Trinity College Dublin |
Subject: | Hurst exponent | Efficient market hypothesis | covered interest parity | arbitrage |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Length: |
Classification: | C22 - Time-Series Models ; C32 - Time-Series Models ; E31 - Price Level; Inflation; Deflation ; F31 - Foreign Exchange |
Source: |
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