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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
Published version (DOI) Open Access Copy (Duke)

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

Tim Bollerslev
Author Tim Bollerslev Economics

Published In

Journal of International Money and Finance

DOI

10.1016/0261-5606(94)90005-1

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

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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.
Journal cover image

Published In

Journal of International Money and Finance

DOI

10.1016/0261-5606(94)90005-1

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