Long Memory and Structural Changes in the Forward Discount: An Empirical Investigation
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References listed on IDEAS
- Diebold, Francis X. & Inoue, Atsushi, 2001.
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- 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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- 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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Keywords
Long memory; Structural Changes;JEL classification:
- F3 - International Economics - - International Finance
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