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dc.contributor.author Bollerslev, Tim en_US
dc.contributor.author Baillie, Richard T. en_US
dc.date.accessioned 2010-03-09T15:34:41Z
dc.date.available 2010-03-09T15:34:41Z
dc.date.issued 1994 en_US
dc.identifier.uri http://hdl.handle.net/10161/1965
dc.description.abstract The estimation of ARFIMA models by approximate maximum likelihood estimation methods, reveals the forward premia for the currencies of Canada, Germany and the UK vis-à-vis the US dollar, to be well described by a fractionally integrated process. These models imply that all the forward premia are mean reverting, although their autocorrelations are quite persistent. This degree of persistence has led other studies to erroneously conclude that the forward premia contains a unit root. en_US
dc.format.extent 1177041 bytes
dc.format.mimetype application/pdf
dc.language.iso en_US
dc.publisher Journal of International Money and Finance en_US
dc.subject AFIRMA models en_US
dc.subject Autocorrelation structure en_US
dc.subject Fractionally integrated processes en_US
dc.title The Long-Memory of the Forward Premium en_US
dc.type Journal Article en_US
dc.department Economics

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