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Long memory and structural changes in the forward discount : an empirical investigation

Choi, Kyongwook; Zivot, Eric - 2003

Many empirical studies find a negative correlation between the returns on the nominal spot exchange rate and the lagged forward discount. This forward discount anomaly implies that the current forward rate is a biased predictor of the future spot rate. A large number of studies in the existing...

Persistent link: https://www.econbiz.de/10011512994

Non-renewable resource prices : a robust evaluation from the stationarity perspective

Presno, María José; Landajo, Manuel; Fernández, Paula - In: Resource and energy economics 36 (2014) 2, pp. 394-416

Persistent link: https://www.econbiz.de/10010391586

Determining the number of breaks in large dimensional factor models with structural changes

Wang, Lu; Zhou, Ruichao; Wu, Jianhong - In: Economics letters 199 (2021), pp. 1-4

Persistent link: https://www.econbiz.de/10012605871

Hedging with Chinese aluminum futures : international evidence with return and volatility spillover indices under structural breaks

Lau, Chi Keung; Bilgin, Mehmet Huseyin - In: Emerging markets finance & trade : a journal of the … 49 (2013), pp. 37-48

Persistent link: https://www.econbiz.de/10009743748

Estimation and inference of change points in high-dimensional factor models

Bai, Jushan; Han, Xu; Shi, Yutang - In: Journal of econometrics 219 (2020) 1, pp. 66-100

Persistent link: https://www.econbiz.de/10012483190

Identifying structural changes and associations in exchange rates with Markov switching models : the evidence from Central European currency markets

Kołodziejczyk, Hanna - In: Bank i kredyt 51 (2020) 1, pp. 69-90

Persistent link: https://www.econbiz.de/10012503346

A test for changing trends with monotonic power

Wu, Jilin - In: Economics letters 141 (2016), pp. 15-19

Persistent link: https://www.econbiz.de/10011616049

Analysis of structural changes in container shipping

Fan, Lixian; Yin, Jingbo - In: Maritime economics & logistics : a quarterly scientific … 18 (2016) 2, pp. 174-191

Persistent link: https://www.econbiz.de/10011586586

Unit root quantile autoregression testing with smooth structural changes

Li, Haiqi; Zheng, Chaowen - In: Finance research letters 25 (2018), pp. 83-89

Persistent link: https://www.econbiz.de/10012003465

On the persistence of the forward premium in the joint presence of nonlinearity, asymmetry, and structural changes

Cho, Dooyeon - In: Economic modelling 70 (2018), pp. 310-319

Persistent link: https://www.econbiz.de/10012027933

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