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Long memory and structural changes in the forward discount: An empirical investigation · Study

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ArticleLong memory and structural changes in the forward discount: An empirical investigation

Kyongwook Choi2007

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Articlegreen2007

Long memory and structural changes in the forward discount: An empirical investigation

Kyongwook Choi · Eric W. Zivot

106 citations·0/0 files stored·Journal of International Money and Finance

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Monetary Policy and Economic Impact Global Financial Crisis and Policies Financial Risk and Volatility Modeling

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References

1992Testing the null hypothesis of stationarity against the alternative of a unit root 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis 1996Efficient Tests for an Autoregressive Unit Root 1992Efficient Tests for an Autoregressive Unit Root 2001LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS 1981Fractional Differencing

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Details

Year2007

Typearticle

Published2007-02-05

VenueJournal of International Money and Finance

ISSN-L0261-5606

Languageen

Citations106

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/j.jimonfin.2007.01.002

openalex_workW1512538456

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2009Long memory versus structural breaks in modeling and forecasting realized volatility

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