The long memory of the forward premium

Published

Journal Article

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.

Full Text

Duke Authors

Cited Authors

  • Baillie, RT; Bollerslev, T

Published Date

  • January 1, 1994

Published In

Volume / Issue

  • 13 / 5

Start / End Page

  • 565 - 571

International Standard Serial Number (ISSN)

  • 0261-5606

Digital Object Identifier (DOI)

  • 10.1016/0261-5606(94)90005-1

Citation Source

  • Scopus