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Stationary representations, cointegration, and rational expectations with an application to the forward foreign exchange market

Boucher Breuer, Janice - 1991

Persistent link: https://www.econbiz.de/10000825967

Real versus spurious long-memory volatility in foreign exchange data : evidence from the rand against the G4 currencies

Thupayagale, Pako; Jefferis, Keith R. - In: Tydskrif vir studies in ekonomie en ekonometrie : SEE 35 (2011) 2, pp. 71-93

Persistent link: https://www.econbiz.de/10009490904

Does the forward discount represent a long memory process or short memory process with multiple changes in the mean?

Shahrin, Aidil Rizal - In: Jahrbücher für Nationalökonomie und Statistik 235 (2015) 6, pp. 630-641

Persistent link: https://www.econbiz.de/10011432220

Response of the term structure of forward exchange rate to jump in the interest rate

Li, Xiao-ping; Feng, Yun; Wu, Chong-feng; Xu, Wei-dong - In: Economic modelling 30 (2013), pp. 863-874

Persistent link: https://www.econbiz.de/10009708784

Nonlinearity as an explanation of the forward exchange rate anomaly

Bond, Derek; Hession, Niall; Harrison, Michael J.; … - 2008

evidence of time-wise nonlinearity and, significantly, obtain parameter estimates that conform with theory to a high degree of …

Persistent link: https://www.econbiz.de/10009723876

The forward exchange rate unbiasedness hypothesis : a single break unit root and cointegration analysis

Mazur, Michael E.; Ramírez, Miguel D. - In: Modern economy 4 (2013) 9, pp. 605-626

Persistent link: https://www.econbiz.de/10010243180

Can signal extraction help predict risk premia in foreign exchange rates

Kiani, Khurshid M. - In: Economic modelling 33 (2013), pp. 926-939

Persistent link: https://www.econbiz.de/10010195543

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

Testing forward exchange rate unbiasedness efficiently: a semiparametric approach

Hodgson, Douglas J.; Linton, Oliver; Vorkink, Keith - In: Journal of applied economics 7 (2004) 2, pp. 325-353

Persistent link: https://www.econbiz.de/10002891902

Scaling relationships of Gaussian processes

Batten, Jonathan A.; Ellis, Craig - In: Economics letters 72 (2001) 3, pp. 291-296

Persistent link: https://www.econbiz.de/10001602342

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