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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).

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

Identifiers

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: 17 Jul 2017 14:14

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