The Long Memory Behavior of the EUR/USD Forward Premium

The Long Memory Behavior of the EUR/USD Forward Premium

This paper empirically investigates the contribution of the term structure of the forward premium to explain the long memory behavior that can characterize the forward premium. We apply our empirical study on1-month, 3-month, 6-month, 9-month and 1-year forward premiums of the EUR/USD over 17 years...

Full description

Bibliographic Details
Main Authors:	Nessrine Hamzaoui, Boutheina Regaieg
Format:	Article
Language:	English
Published:	EconJournals 2017-09-01
Series:	International Journal of Economics and Financial Issues
Subjects:	arfima box-jenkins gph method whittle long memory.
Online Access:	https://dergipark.org.tr/tr/pub/ijefi/issue/32021/354273?publisher=http-www-cag-edu-tr-ilhan-ozturk

Similar Items

Long Memory Analysis: An Empirical Investigation
by: Rafik Nazarian, et al.
Published: (2014-03-01)

Exploration of the Foreign Exchange Forward Premiums and the Spot Exchange Return: A Multivariate Approach
by: Nessrine Hamzaoui, et al.
Published: (2016-04-01)

The Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic Approach to Investigating the Foreign Exchange Forward Premium Volatility
by: Nessrine Hamzaoui, et al.
Published: (2016-09-01)

Comparing the accuracy of the model Meta heuristic and Econometric in forecasting of financial time series with long-term memory (Case Study, Stock Index of Cement Industry in Iran)
by: Farnaz Barzinpour, et al.
Published: (2011-08-01)

Long Memory Behavior in the Returns of Pakistan Stock Market: ARFIMA-FIGARCH Models
by: Serpil TURKYILMAZ, et al.
Published: (2014-06-01)

Enhanced Vegetation Index (EVI) na análise da dinâmica da vegetação da reserva biológica de Sooretama, ES Use of Enhanced Vegetation Index (EVI) in the analysis os vegetation dynamics of the Sooretama biological reservation, ES
by: André Quintão de Almeida, et al.
Published: (2008-12-01)

TESTING THE LONG RANGE-DEPENDENCE FOR THE CENTRAL EASTERN EUROPEAN AND THE BALKANS STOCK MARKETS
by: Pece Andreea Maria, et al.
Published: (2013-07-01)

Estimação do parâmetro "d " em modelos arfima
by: Elma Suema Trevisan, et al.
Published: (2000-06-01)

INCLUSIÓN DE CORRELACIONES TEMPORALES CON DEPENDENCIA A LARGO PLAZO Y PATRONES AUTOSIMILARES EN MODELOS DE REDES IEEE 802.3 INCLUSION OF LONG-RANGE-DEPENDENT TEMPORARY CORRELATIONS AND SELF-SIMILAR PATTERNS IN IEEE 802.3 NETWORKS MODELS
by: Ginno Millán Naveas, et al.
Published: (2010-04-01)

Evaluation of Dual Long Memory Properties with Emphasizing the Skewed and Fat-Tail Distribution: Evidence from Tehran Stock Exchange
by: Mohammad Donyaei, et al.
Published: (2015-01-01)

Do Dynamic Neural Networks Stand a Better Chance in Fractionally Integrated Process Forecasting?
by: Majid Delavari, et al.
Published: (2013-06-01)

Measuring Fractality
by: Tatjana eStadnitski
Published: (2012-05-01)

Wavelet-Based and Fourier-Based Multivariate Whittle Estimation: multiwave
by: Sophie Achard, et al.
Published: (2019-05-01)

Long range dependency and forecasting of housing price index and mortgage market rate: evidence of subprime crisis
by: Nadhem Selmi, et al.
Published: (2015-05-01)

Box-Jenkins模式在預測上的研究
by: 任如意

Inflação inercial como um processo de longa memória: análise a partir de um modelo Arfima-Figarch
by: Erik Alencar de Figueiredo, et al.
Published: (2009-06-01)

Effects of Financial Crises on the Long Memory Volatility Dependency of Foreign Exchange Rates: the Asian Crisis vs. the Global Crisis
by: Young Wook Han
Published: (2014-03-01)

[en] A COMPARISON STUDY OF BOX & JENKINS ARMA (P,Q) STRUCTURAL IDENTIFICATION PROCEDURES
by: LILIAN MANOEL DE MENEZES WILLENBOCKEL
Published: (2009)

Bayesian wavelet approaches for parameter estimation and change point detection in long memory processes
by: Ko, Kyungduk
Published: (2005)

THE LONG MEMORY PROPERTY OF HUNGARIAN MARKET PIG PRICES: A COMPARISON OF THREE DIFFERENT METHODS
by: SÁNDOR KOVÁCS, et al.
Published: (2012-10-01)

İKİLİ UZUN HAFIZADA ASİMETRİ ETKİSİ: BİST BANKA ÖRNEĞİ
by: İsmail Çelik, et al.
Published: (2019-04-01)

Prediction of stock price developments using the Box-Jenkins method
by: Groda Bořivoj, et al.
Published: (2017-01-01)

[en] THE INFLUENCE OF THE SAMPLING INTERVAL IN THE LONG MEMORY ESTIMATION IN TIME SERIES
by: LEONARDO ROCHA SOUZA
Published: (2001)

Applying Time Series Analysis Model to Temperature Data in Greenhouses
by: Abdelhafid Hasni, et al.
Published: (2011-03-01)

Modelo de previsão da receita tributária : o caso do ICMS no Estado de Pernambuco
by: Claudio Cordeiro Teti, Aloisio
Published: (2014)

Annual forecasting of inflation rate in Iran: Autoregressive integrated moving average modeling approach
by: Samrad Jafarian‐Namin, et al.
Published: (2021-04-01)

Forecasting the Reference Evapotranspiration Using Time Series Model
by: H. Zare Abyaneh, et al.
Published: (2016-10-01)

Understanding the Nature of the Long-Range Memory Phenomenon in Socioeconomic Systems
by: Rytis Kazakevičius, et al.
Published: (2021-08-01)

Geoestatística no estudo de modelagem temporal da precipitação Geostatistics in the temporal modeling study of precipitation
by: André Q. de Almeida, et al.
Published: (2011-04-01)

[en] A RECURSIVE PROCEDURE FOR THE FACE AND FCCE ESTIMATION IN THE IDENTIFICATION OF THE BOX & JENKINS AND TIAO & BOX MODELS
by: CARLOS AUGUSTO GRUNEWALD
Published: (2009)

Estudo da volatilidade da série de preços da soja por meio de modelos GARCH e modelos ARFIMA
by: Gabriel Tambarussi Avancini
Published: (2015)

Estudo da volatilidade da série de preços da soja por meio de modelos GARCH e modelos ARFIMA
by: Avancini, Gabriel Tambarussi
Published: (2015)

MODELAGEM E PREVISÃO POR MEIO DE METODOLOGIA BOX&JENKINS: UMA FERRAMENTA DE GESTÃO
by: Kirchner, Rosane Maria
Published: (2007)

Multivariate FIGARCH and long memory process: evidence of oil price markets
by: Nadhem Selmi, et al.
Published: (2015-09-01)

CZ GDP Prediction via neural networks and Box-Jenkins Method
by: Dvořáková Lenka
Published: (2017-01-01)

Time series prediction model for the tourism demand of the Cubanacán Hotel Chain
by: Reinier Fernández López, et al.
Published: (2020-12-01)

Prediction of Suicide Attempts Using the Box-Jenkins Model
by: Yosra Azizpour, et al.
Published: (2020-09-01)

Time Series Analysis and Forecasting For Air Pollution In Ankara: A Box-Jenkins Approach
by: Duygu Turgut, et al.
Published: (2015-12-01)

Forecasting Milled Rice Production in Ghana Using Box-Jenkins Approach
by: Nasiru Suleman, et al.
Published: (2012-06-01)

La Aplicación de los modelos Box-Jenkins y Holt-Winters para el pronóstico de los caudales mensuales en el río Shullcas en la estación Chamisería, Huancayo-Perú
by: Toribio Reyes Rodríguez
Published: (2019-08-01)