Do carry trade returns show signs of long memory?
Benjamin R. Auer, Andreas Hoffmann
| Year of publication: |
August 2016
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|---|---|
| Authors: | Auer, Benjamin R. ; Hoffmann, Andreas |
| Published in: |
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9769, ZDB-ID 1114217-0. - Vol. 61.2016, p. 201-208
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| Subject: | Carry trade returns | Long-range dependence | Hurst coefficient | Portfolio strategy | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Währungsspekulation | Currency speculation | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.qref.2016.02.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011627532