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

Choi, Kyongwook; Zivot, Eric - In: Journal of international money and finance 26 (2007) 3, pp. 342-363

Persistent link: https://www.econbiz.de/10003441997

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

Long memory in oil and refined products markets

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Persistent link: https://www.econbiz.de/10003842673

Aggregation bias in natural resource price composites : the forestry case

Jung, Chulho - In: Resource and energy economics 20 (1998) 1, pp. 65-73

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Forecasting UK stock prices

Jung, Chulho - In: Applied financial economics 6 (1996) 3, pp. 279-286

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Forecasting movements in the stock market : a comparison between static and dynamic models

Jung, Chulho - In: The southern business & economic journal 17 (1994) 4, pp. 297-315

Persistent link: https://www.econbiz.de/10001166047