The Forward Exchange Rate Unbiasedness Hypothesis: A Single Break Unit Root and CointegrationAnalysis
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KeywordsCointegration analysis; Error-correction model (ECM); Forward exchange rate unbiasedness hypothesis (FRUH); KPSS no unit root test; unexploited profits; and Zivot-Andrews single break unit root test;
- F3 - International Economics - - International Finance
- F31 - International Economics - - International Finance - - - Foreign Exchange
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-07-28 (All new papers)
- NEP-FOR-2013-07-28 (Forecasting)
- NEP-MON-2013-07-28 (Monetary Economics)
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