Baillie, R.T., Bollerslev, T., 1994. The long memory of the forward premium. Journal of International Money and Finance 13, 565-571. Home/Search Document Not in Database Summary Related Articles Check |
This paper is cited in the following contexts:
A Nonlinear Long Memory Model for US Unemployment - van Dijk, Franses, Paap (2000) (Correct)
....for 0:5 d 1, y T is non stationary, but the limiting value of the impulse response function is equal to 0, such that shocks do not have permanent e ects. Fractionally integrated models have been successfully implemented for exchange rates (Diebold, Husted and Rush, 1991; Cheung, 1993; and Baillie and Bollerslev, 1994), in ation rates (Baillie, Chung and Tieslau, 1996; and Hassler and Wolters, 1995) and unemployment (Diebold and Rudebusch, 1989; Tschernig and Zimmermann, 1992; Kostas and Veloce, 1996; and Crato and Rothman, 1998) see Baillie (1996) for a survey. 2 To capture nonlinear features in a time ....
Baillie, R.T. and T. Bollerslev (1994), The long memory of the forward premium, Journal of International Money and Finance 13, 565-571.
The Forward Rate Unbiasedness Hypothesis Reexamined.. - Delcoure, Barkoulas, al. (Correct)
....(given the obtained evidence of stationarity for t he forecast error series) There is a debate in the literature regarding the integration order of the forward premium series. Crowder (1994) finds t s t f to be a unit root process whereas Hai et al. 1997) reach the opposite conclusion. Baillie and Bollerslev (1994) find t s t f to be a fractionally integrated process. We apply the JLR test to our panel of forward premium series for the eight currencies and document strong evidence supporting that the forward premium series under consideration are realizations of stationary processes. These results are ....
Baillie, R. T. and T. Bollerslev (1994), The long memory of the forward premium, Journal of International Money and Finance, 13, 565-571.
The Long Memory Property Of The US Unemployment Rate - Funke (1998) (Correct)
....since traditional unit root tests have low power in the face of fractionally integrated alternatives. 7 I therefore also estimated d using 4 There is evidence that financial time series may be better approximated by fractionally integrated models than by integer integrated ones. See, e.g. Baillie and Bollerslev (1994), Cheung (1993) and Hassler and Wolters (1995) 5 The data were obtained from OECD Main Economic Indicators, various issues. 6 The unemployment rates are percentages which are bounded by 0 and 100. Some analysts have questioned the meaningfulness of unit root tests in bounded data. Since unit ....
Baillie, R.T. and T. Bollerslev (1994) "The Long Memory of the Forward Premium", Journal of International Money and Finance 13, 565-571.
Unit-Root Tests And Excess Returns - Godbout, van Norden (Correct)
....on these trends. As noted in the introduction, Crowder (1994) presents similar evidence. However, his results are sensitive to the lag length selected, and he does no simulations to check the finite sample behavior of his tests. Moreover, his article is immediately followed by a rebuttal byBaillie and Bollerslev (1994). For these reasons, we think Evans and Lewis results are the most convincing seen to date and we limit ourselves to their work. However, we should note that Crowder s methodology is essentially the same as that in EL93. Therefore, we suspect that the results we present on their work could apply ....
Baillie, R. T. and T. Bollerslev (1994). "The Long Memory of the Forward Premium," Journal of International Money and Finance, 13, 565-571.
Rethinking the Forward Premium Puzzle in a Nonlinear Framework - Coakley, Fuertes (Correct)
No context found.
Baillie, R.T., Bollerslev, T., 1994. The long memory of the forward premium. Journal of International Money and Finance 13, 565-571.
FORWARD PREMIUMS AND MARKET EFFICIENCY: Panel Unit-root.. - Barkoulas, Baum, al. (Correct)
No context found.
Baillie, R. T. and T. Bollerslev (1994b), The long memory of the forward premium, Journal of International Money and Finance, 13, 565-571.
Reconsidering Cointegration in International Finance: Three .. - Godbout, van Norden (1997) (Correct)
No context found.
Baillie, Richard T. and Tim Bollerslev. 1994b. "The long memory of the forward premium.
Online articles have much greater impact More about CiteSeer.IST Add search form to your site Submit documents Feedback
CiteSeer.IST - Copyright Penn State and NEC