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Rethinking Long Memory and Structural Breaks in the Forward Premium
Li, Xiaoming - 2009
This paper documents new results that the ability of structural breaks to explain away non-stationary long memory in the forward premium weakens considerably with higher-frequency data. For daily data, removing structural breaks does not make non-stationary long memory stationary, contrary to...
Persistent link: https://www.econbiz.de/10013159266
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Medium-term macroeconomic determinants of exchange rate volatility
Morana, Claudio - In: Journal / The Capco Institute : journal of financial … 25 (2009), pp. 55-64
Persistent link: https://www.econbiz.de/10003904898
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Putting the dividend-price ratio under the microscope
Nagayasu, Jun - In: Finance research letters 4 (2007) 3, pp. 186-195
Persistent link: https://www.econbiz.de/10003702417
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Drift and breaks in labor productivity
Benati, Luca - In: Journal of economic dynamics & control 31 (2007) 8, pp. 2847-2877
Persistent link: https://www.econbiz.de/10003499209
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Detecting and modelling nonlinearity in flexible exchange rate time series
Chiarella, Carl - In: Asia Pacific journal of management : APJM ; a … 11 (1994) 2, pp. 159-186
Persistent link: https://www.econbiz.de/10001174923
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The effect of exchange rate volatility on the volume of Japan's bilateral trade
Daly, Kevin - In: The Singapore economic review : journal of the Economic … 41 (1996) 2, pp. 22-39
Persistent link: https://www.econbiz.de/10001378973
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Business cycle asymmetries and the nominal exchange rate regimes
Razzak, Weshah A. - 1998
Persistent link: https://www.econbiz.de/10000996833
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The stabilizing properties of floating exchnage rates : some international evidence
Bergvall, Anders - 2002
Persistent link: https://www.econbiz.de/10001699741
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The forward premium anomaly : statistical artefact or economic puzzle? : New evidence from robust tests
Maynard, Alex - In: The Canadian journal of economics 39 (2006) 4, pp. 1244-1281
Persistent link: https://www.econbiz.de/10003398280
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The influence of international parity on the exchange rate : purchasing power parity and international Fisher effect
Mionel, Oana - In: Acta Universitatis Danubius / Oeconomica 8 (2012) 1, pp. 60-81
Persistent link: https://www.econbiz.de/10009775225