Nonlinearity as an explanation of the forward exchange rate anomaly
This article shows that nonlinearity can provide an explanation for the forward exchange rate anomaly (Fama, 1984). Using sterling-Canadian dollar data and modelling nonlinearity of unspecified form by means of a random field, we find strong evidence of time-wise nonlinearity and, significantly, obtain parameter estimates that conform with theory to a high degree of precision.
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Volume (Year): 17 (2010)
Issue (Month): 13 ()
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References listed on IDEAS
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