The long memory of the forward premium: evidence from European foreign exchange during the 1920s float
Choudhry, T. (2008) The long memory of the forward premium: evidence from European foreign exchange during the 1920s float. Southampton, UK, University of Southampton (Discussion Papers in Centre for Banking, Finance and Sustainable Development, (CBFSD-08-18) ).
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Description/Abstract
This paper investigates the fractional dynamics of European foreign exchange forward premium during the floating period of the 1921-25. The two different fractional integration tests applied provide ample evidence of long memory in the 1920s forward premium.
| Item Type: | Monograph (Discussion Paper) |
|---|---|
| Subjects: | H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management H Social Sciences > HB Economic Theory H Social Sciences > HA Statistics |
| Divisions: | University Structure - Pre August 2011 > School of Management |
| Item ID: | 64201 |
| Date Deposited: | 20 Jan 2009 |
| Last Modified: | 02 Mar 2012 13:33 |
| Contributors: | Choudhry, T. (Author) |
| Date: | 2008 |
| Status: | Unpublished |
| Publisher: | University of Southampton |
| URI: | http://eprints.soton.ac.uk/id/eprint/64201 |
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