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)
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ePrint ID: 64201
Date :
Date Event
2008Published
Date Deposited: 20 Jan 2009
Last Modified: 16 Apr 2017 17:21
Further Information:Google Scholar
URI: http://eprints.soton.ac.uk/id/eprint/64201

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