On the persistence of the forward premium in the joint presence of nonlinearity, asymmetry, and structural changes
Year of publication: |
2018
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Authors: | Cho, Dooyeon |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 70.2018, p. 310-319
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Subject: | Asymmetry | Nonlinearity | Forward premium | Smoothly changing parameters | Structural changes | Theorie | Theory | Strukturwandel | Structural change | Risikoprämie | Risk premium | Nichtlineare Regression | Nonlinear regression | Zeitreihenanalyse | Time series analysis | Währungsderivat | Currency derivative | Strukturbruch | Structural break |
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