Long Memory and Structural Changes in the Forward Discount: An Empirical Investigation
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Bibliographic InfoPaper provided by EconWPA in its series Econometrics with number 0307001.
Length: 45 pages
Date of creation: 04 Jul 2003
Date of revision: 23 Jul 2003
Note: Type of Document - Acrobat PDF; prepared on IBM PC; to print on HP/PostScript/Franciscan monk; pages: 45 ; figures: included
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Long memory; Structural Changes;
Find related papers by JEL classification:
- F3 - International Economics - - International Finance
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Francis X. Diebold & Atsushi Inoue, 2000.
"Long Memory and Regime Switching,"
NBER Technical Working Papers
0264, National Bureau of Economic Research, Inc.
- George Sakoulis & Eric Zivot, 2000. "Time-Variation and Structural Change in the Forward Discount: Implications for the Forward Rate Unbiasedness Hypothesis," Econometric Society World Congress 2000 Contributed Papers 1583, Econometric Society.
- Alexandra Dias & Paul Embrechts, 2004. "Dynamic copula models for multivariate high-frequency data in finance," Working Papers wpn04-01, Warwick Business School, Finance Group.
- Kellard, Neil, 2006. "On the robustness of cointegration tests when assessing market efficiency," Finance Research Letters, Elsevier, vol. 3(1), pages 57-64, March.
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