Long Memory and Structural Changes in the Forward Discount: An Empirical Investigation
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|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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References listed on IDEAS
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- Diebold, Francis X. & Inoue, Atsushi, 2001.
"Long memory and regime switching,"
Journal of Econometrics,
Elsevier, vol. 105(1), pages 131-159, November.
- 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.
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