Aguirre, Maria Sophia; Saidi, Reza - In: Journal of Economic Studies 25 (1998) October, pp. 538-552
This paper studies the components of the forward discount dynamics in Germany from 1972 to 1996. By using two different frequencies in the analysis, we find that an ARCH structure fits the monthly data well, while an EGARCH structure gives a better description of daily forward discount...
