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
ePrint ID: 64201
Date Deposited: 20 Jan 2009
Last Modified: 27 Mar 2014 18:45
Publisher: University of Southampton
URI: http://eprints.soton.ac.uk/id/eprint/64201

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