The presence of long memory in Realized Volatility (RV) is a widespread stylized fact. The origins of long memory in RV have been attributed to jumps, structural breaks, non-linearities, or pure long memory. An important development has been the Heterogeneous Autoregressive (HAR) model and its...

The success of the carry trade in international currency and money markets is related to the extent of the forward premium anomaly. We present evidence that the anomaly is a very time dependent phenomenon. We also formulate a model where the ex post returns from the carry trade are functionally...

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...