Structural change in the forward discount: a Bayesian analysis of forward rate unbiasedness hypothesis
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- Tsung-Wu Ho & Wan-Shin Mo, 2016. "Testing the Persistence of the Forward Premium: Structural Changes or Misspecification?," Open Economies Review, Springer, vol. 27(1), pages 119-138, February.
More about this item
KeywordsBayesian method; structural change; forward discount anomaly; Gibbs-sampling;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- F3 - International Economics - - International Finance
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