The long memory of the forward premium
Publication
, Journal Article
Baillie, RT; Bollerslev, T
Published in: Journal of International Money and Finance
January 1, 1994
The estimation of ARFIMA models by approximate maximum likelihood estimation methods, reveals the forward premia for the currencies of Canada, Germany and the UK vis-à-vis the US dollar, to be well described by a fractionally integrated process. These models imply that all the forward premia are mean reverting, although their autocorrelations are quite persistent. This degree of persistence has led other studies to erroneously conclude that the forward premia contains a unit root. (JEL C22, E31). © 1994.
Duke Scholars
Published In
Journal of International Money and Finance
DOI
ISSN
0261-5606
Publication Date
January 1, 1994
Volume
13
Issue
5
Start / End Page
565 / 571
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment
- 1403 Econometrics
- 1402 Applied Economics
Citation
APA
Chicago
ICMJE
MLA
NLM
Baillie, R. T., & Bollerslev, T. (1994). The long memory of the forward premium. Journal of International Money and Finance, 13(5), 565–571. https://doi.org/10.1016/0261-5606(94)90005-1
Baillie, R. T., and T. Bollerslev. “The long memory of the forward premium.” Journal of International Money and Finance 13, no. 5 (January 1, 1994): 565–71. https://doi.org/10.1016/0261-5606(94)90005-1.
Baillie RT, Bollerslev T. The long memory of the forward premium. Journal of International Money and Finance. 1994 Jan 1;13(5):565–71.
Baillie, R. T., and T. Bollerslev. “The long memory of the forward premium.” Journal of International Money and Finance, vol. 13, no. 5, Jan. 1994, pp. 565–71. Scopus, doi:10.1016/0261-5606(94)90005-1.
Baillie RT, Bollerslev T. The long memory of the forward premium. Journal of International Money and Finance. 1994 Jan 1;13(5):565–571.
Published In
Journal of International Money and Finance
DOI
ISSN
0261-5606
Publication Date
January 1, 1994
Volume
13
Issue
5
Start / End Page
565 / 571
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment
- 1403 Econometrics
- 1402 Applied Economics