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

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Author Info
Kyongwook Choi (Ohio University)
Eric Zivot (University of Washington)
Abstract

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File URL: http://129.3.20.41/eps/em/papers/0307/0307001.pdf
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Paper provided by EconWPA in its series Econometrics with number 0307001.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 45 pages
Date of creation: 04 Jul 2003
Date of revision: 23 Jul 2003
Handle: RePEc:wpa:wuwpem:0307001

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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Related research
Keywords: Long memory; Structural Changes;

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Find related papers by JEL classification:
F3 - International Economics - - International Finance

References listed on IDEAS
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.:

  1. Diebold, Francis X. & Inoue, Atsushi, 2001. "Long memory and regime switching," Journal of Econometrics, Elsevier, vol. 105(1), pages 131-159, November. [Downloadable!] (restricted)
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  2. 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. [Downloadable!]
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This page was last updated on 2009-12-16.

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