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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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
|Date Deposited:||20 Jan 2009|
|Last Modified:||27 Mar 2014 18:45|
|RDF:||RDF+N-Triples, RDF+N3, RDF+XML, Browse.|
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