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

Author

Listed:
  • Kyongwook Choi

    (Ohio University)

  • Eric Zivot

    (University of Washington)

Abstract

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Suggested Citation

  • Kyongwook Choi & Eric Zivot, 2003. "Long Memory and Structural Changes in the Forward Discount: An Empirical Investigation," Econometrics 0307001, University Library of Munich, Germany, revised 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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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/em/papers/0307/0307001.pdf
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    References listed on IDEAS

    as
    1. Diebold, Francis X. & Inoue, Atsushi, 2001. "Long memory and regime switching," Journal of Econometrics, Elsevier, vol. 105(1), pages 131-159, November.
    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.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Kellard, Neil, 2006. "On the robustness of cointegration tests when assessing market efficiency," Finance Research Letters, Elsevier, vol. 3(1), pages 57-64, March.

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    More about this item

    Keywords

    Long memory; Structural Changes;

    JEL classification:

    • F3 - International Economics - - International Finance

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