Nonlinearity as an Explanation of the Forward Exchange Rate Anomaly

This paper shows that nonlinearity can provide an explanation for the forward exchange rate anomaly (Fama, 1984). Using sterling-Canadian dollar data, and modelling nonlinearity of unspecified form by means of a random field, we find strong evidence of time-wise nonlinearity and, significantly, obtain parameter estimates that conform with theory to a high degree of precision: the anomaly disappears

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Year of publication:	2008
Authors:	Bond, Derek ; Harrison, Michael J. ; Hession, Niall ; O'Brien, Edward J.
Publisher:	[S.l.] : SSRN
Subject:	Währungsderivat \| Currency derivative \| Nichtlineare Regression \| Nonlinear regression \| Schätzung \| Estimation \| Theorie \| Theory \| Kanada \| Canada \| Wechselkurs \| Exchange rate

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Extent:	1 Online-Ressource (8 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 30, 2007 erstellt
Other identifiers:	10.2139/ssrn.1097086 [DOI]
Classification:	C22 - Time-Series Models ; F31 - Foreign Exchange
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014220052