Does the forward discount represent a long memory process or short memory process with multiple changes in the mean?
Aidil Rizal Shahrin (University of Malaya, Malaysia)
| Year of publication: |
November 2015
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|---|---|
| Authors: | Shahrin, Aidil Rizal |
| Published in: |
Jahrbücher für Nationalökonomie und Statistik. - Berlin : De Gruyter Oldenbourg, ISSN 0021-4027, ZDB-ID 215643-X. - Vol. 235.2015, 6, p. 630-641
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| Subject: | Long memory | multiple changes in mean | exchange rate | forward rate unbiasedness hypothesis | Wechselkurs | Exchange rate | Währungsderivat | Currency derivative | Theorie | Theory | Zeitreihenanalyse | Time series analysis | ARMA-Modell | ARMA model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011432220