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Testing the persistence of the forward premium : structural changes or misspecification?

Tsung-Wu Ho, Wan-Shin Mo
Year of publication:
February 2016
Authors: Ho, Tsung-wu ; Moh, Wan Shin
Published in:
Open economies review. - Dordrecht [u.a.] : Springer Science + Business Media B.V, ISSN 0923-7992, ZDB-ID 1073291-3. - Vol. 27.2016, 1, p. 119-138
Subject: Forward premium puzzle | Unit roots with structural changes | Predictability | Forward rate unbiasedness hypothesis | Persistence | Währungsderivat | Currency derivative | Strukturwandel | Structural change | Wechselkurs | Exchange rate | Einheitswurzeltest | Unit root test | Zeitreihenanalyse | Time series analysis | Risikoprämie | Risk premium | Zinsstruktur | Yield curve | Schätztheorie | Estimation theory | Strukturbruch | Structural break | Prognoseverfahren | Forecasting model | Zinsparität | Interest rate parity
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