Testing the forward volatility unbiasedness hypothesis in exchange rates under long-range dependence
Jorge V. Pérez-Rodríguez, Julián Andrada-Félix, Heiko Rachinger
| Year of publication: |
2021
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|---|---|
| Authors: | Pérez Rodríguez, Jorge V. ; Andrada Félix, Julián ; Rachinger, Heiko |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 57.2021, p. 1-15
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| Subject: | Exchange rates | Forward volatility unbiasedness hypothesis | Fractional cointegration | Wechselkurs | Exchange rate | Volatilität | Volatility | Währungsderivat | Currency derivative | Kointegration | Cointegration | Theorie | Theory | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2021.101438 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012822266