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Year of publication
Subject
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Cointegration 1 Cointegration Analysis 1 Cointegration analysis 1 Currency derivative 1 Einheitswurzeltest 1 Error-Correction Model (ECM) 1 Error-correction model (ECM) 1 Estimation 1 Exchange rate 1 Forward Exchange Rate Unbiasedness Hypothesis (FRUH) 1 Forward exchange rate unbiasedness hypothesis (FRUH) 1 KPSS No Unit Root Test 1 KPSS no unit root test 1 Kointegration 1 Schätzung 1 Structural break 1 Strukturbruch 1 Theorie 1 Theory 1 Time series analysis 1 Unexploited Profits 1 Unit root test 1 Wechselkurs 1 Währungsderivat 1 Zeitreihenanalyse 1 Zivot-Andrews Single Break Unit Root Test 1 and Zivot-Andrews single break unit root test 1 unexploited profits 1
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Online availability
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Free 1
Type of publication
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Article 1 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Mazur, Michael 1 Mazur, Michael E. 1 Ramirez, Miguel 1 Ramírez, Miguel D. 1
Institution
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Department of Economics, Trinity College 1
Published in...
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Modern economy 1 Working Papers / Department of Economics, Trinity College 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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The Forward Exchange Rate Unbiasedness Hypothesis: A Single Break Unit Root and CointegrationAnalysis
Mazur, Michael; Ramirez, Miguel - Department of Economics, Trinity College - 2013
In an age of globalized finance, Forex market efficiency is particularly relevant as agents engage in arbitrage opportunities across international markets. This study tests the forward exchange rate unbiasedness hypothesis using more powerful tests such as the Zivot-Andrews single-break unit...
Persistent link: https://www.econbiz.de/10010902276
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Cover Image
The forward exchange rate unbiasedness hypothesis : a single break unit root and cointegration analysis
Mazur, Michael E.; Ramírez, Miguel D. - In: Modern economy 4 (2013) 9, pp. 605-626
Persistent link: https://www.econbiz.de/10010243180
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