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

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Author Info
Kyongwook Choi
Eric Zivot
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File URL: http://faculty.washington.edu/ezivot/research/lm0201-05-JIMF.pdf
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Paper provided by University of Washington, Department of Economics in its series Working Papers with number UWEC-2005-02-FC.

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Date of creation: Feb 2005
Date of revision: Feb 2005
Publication status: Forthcoming in Journal of International Money and Finance
Handle: RePEc:udb:wpaper:uwec-2005-02-fc

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  1. 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. [Downloadable!]
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