The long memory of the forward premium: evidence from European foreign exchange during the 1920s float
The long memory of the forward premium: evidence from European foreign exchange during the 1920s float
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.
University of Southampton
Choudhry, T.
6fc3ceb8-8103-4017-b3b5-2d38efa57728
2008
Choudhry, T.
6fc3ceb8-8103-4017-b3b5-2d38efa57728
Choudhry, T.
(2008)
The long memory of the forward premium: evidence from European foreign exchange during the 1920s float
(Discussion Papers in Centre for Banking, Finance and Sustainable Development, CBFSD-08-18)
Southampton, UK.
University of Southampton
Record type:
Monograph
(Discussion Paper)
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.
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Published date: 2008
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Local EPrints ID: 64201
URI: http://eprints.soton.ac.uk/id/eprint/64201
PURE UUID: f967b3ff-b675-438f-a749-dba8233f8a8d
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Date deposited: 20 Jan 2009
Last modified: 12 Dec 2021 03:12
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