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Rethinking long memory and structural breaks in the forward premium

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Rethinking Long Memory and Structural Breaks in the Forward Premium

Li, Xiaoming - 2009

This paper documents new results that the ability of structural breaks to explain away non-stationary long memory in the forward premium weakens considerably with higher-frequency data. For daily data, removing structural breaks does not make non-stationary long memory stationary, contrary to...

Persistent link: https://www.econbiz.de/10013159266