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.
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