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Rethinking an old empirical puzzle: econometric evidence on the forward disco...
Using both semiparametric and parametric estimation methods, this paper corroborates earlier findings of fractionally integrated behaviour in the forward premium. Two new... -
Adaptive estimation of cointegrated models: simulation evidence and an applic...
The paper reports simulation and empirical evidence on the finite-sample performance of adaptive estimators in cointegrated systems. Adaptive estimators are asymptotically... -
Understanding spot and forward exchange rate regressions (replication data)
Using the Kalman filter, we obtain maximum likelihood estimates of a permanent-transitory components model for log spot and forward dollar prices of the pound, the franc, and...
