IDEAS home Printed from
   My bibliography  Save this paper

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


  • Kyongwook Choi

    (Ohio University)

  • Eric Zivot

    (University of Washington)


No abstract is available for this item.

Suggested Citation

  • Kyongwook Choi & Eric Zivot, 2003. "Long Memory and Structural Changes in the Forward Discount: An Empirical Investigation," Econometrics 0307001, EconWPA, 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

    Download full text from publisher

    File URL:
    Download Restriction: no

    References listed on IDEAS

    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)


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    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.
    2. Alexandra Dias & Paul Embrechts, 2004. "Dynamic copula models for multivariate high-frequency data in finance," Working Papers wpn04-01, Warwick Business School, Finance Group.

    More about this item


    Long memory; Structural Changes;

    JEL classification:

    • F3 - International Economics - - International Finance


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpem:0307001. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.