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Long Memory and Structural Breaks in the Forward Discount: An Empirical Investigation

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  • Kyongwook Choi
  • Eric Zivot

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Suggested Citation

  • Kyongwook Choi & Eric Zivot, 2005. "Long Memory and Structural Breaks in the Forward Discount: An Empirical Investigation," Working Papers UWEC-2005-02-FC, University of Washington, Department of Economics, revised Feb 2005.
    • Handle: RePEc:udb:wpaper:uwec-2005-02-fc
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    File URL: http://faculty.washington.edu/ezivot/research/lm0201-05-JIMF.pdf
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    Cited by:

    1. Katsumi Shimotsu, 2006. "Simple (but Effective) Tests Of Long Memory Versus Structural Breaks," Working Paper 1101, Economics Department, Queen's University.
    2. Alex Maynard, 2006. "The forward premium anomaly: statistical artefact or economic puzzle? New evidence from robust tests," Canadian Journal of Economics, Canadian Economics Association, vol. 39(4), pages 1244-1281, November.
    3. Juan J. Dolado & Jesús Gonzalo & Laura Mayoral, 2005. "What is what?: A simple time-domain test of long-memory vs. structural breaks," Economics Working Papers 954, Department of Economics and Business, Universitat Pompeu Fabra.

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