Covered interest parity arbitrage and temporal long-term dependence between the US dollar and the Yen
Year of publication: |
2007
|
---|---|
Authors: | Batten, Jonathan A. ; Szilagyi, Peter G. |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 376.2007, C, p. 409-421
|
Publisher: |
Elsevier |
Subject: | Hurst exponent | Efficient market hypothesis | Covered interest parity | Arbitrage | Temporal long-term dependence |
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