This paper makes two contributions to trying to understand the forward premium anomaly and the apparent breakdowns of Uncovered Interest Rate Parity (UIP). First, investigation of the time series properties of the forward premium reveals either four or five breaks in the last twenty three years...

The paper addresses the issue of choice of bandwidth in the application of semiparametric estimation of the long memory parameter in a univariate time series process. The focus is on the properties of forecasts from the long memory model. A variety of cross-validation methods based on out of...