Memory properties of the forward premium: A study on South African exchange rates
The forward rate unbiasedness hypothesis states that the current forward rate should be an unbiased forecaster of the future spot rate. Inference has always been done under the assumption that the forward premium is a stationary short memory series. Recent empirical results have indicated that this...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
AOSIS
2002-09-01
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| Series: | South African Journal of Economic and Management Sciences |
| Online Access: | https://sajems.org/index.php/sajems/article/view/2738 |