The long memory of the forward premium during the 1920s’ float : evidence from the European foreign exchange market
Year of publication: |
2013
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Authors: | Choudhry, Taufiq |
Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 19.2013, 9/10, p. 964-977
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Subject: | GPH test | Robinson test | ARFIMA | forward premium | long memory | Devisenmarkt | Foreign exchange market | Risikoprämie | Risk premium | Zeitreihenanalyse | Time series analysis | EU-Staaten | EU countries | Wechselkurs | Exchange rate | Währungsderivat | Currency derivative | Schätzung | Estimation |
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