Studies on time series properties of forward discount in foreign exchange market / Aidil Rizal Shahrin
Recent literature has suggested that one explanation of the forward bias puzzle is the validity of econometric inference in testing the forward rate unbiasedness hypothesis (FRUH), which results in biased or size distortion. This is due to the highly persistent behaviour of the forward discount. Tw...
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2015
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| Online Access: | http://studentsrepo.um.edu.my/6122/4/aidil.pdf http://studentsrepo.um.edu.my/6122/ |
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| author | Aidil Rizal, Shahrin |
| author_facet | Aidil Rizal, Shahrin |
| author_sort | Aidil Rizal, Shahrin |
| building | UM Library |
| collection | Institutional Repository |
| content_provider | Universiti Malaya |
| content_source | UM Student Repository |
| continent | Asia |
| country | Malaysia |
| description | Recent literature has suggested that one explanation of the forward bias puzzle is the validity of econometric inference in testing the forward rate unbiasedness hypothesis
(FRUH), which results in biased or size distortion. This is due to the highly persistent behaviour of the forward discount. Two models of time series with a highly persistent
process are quite successful in explaining the puzzle; long memory and root near unity. However, Choi and Zivot (2007), who focus on long memory, and Sakoulis et al.
(2010), who focus on the autoregressive ( |
| format | Thesis |
| id | my.um.stud-6122 |
| institution | Universiti Malaya |
| publishDate | 2015 |
| record_format | eprints |
| spelling | my.um.stud-61222021-11-24T23:35:30Z Studies on time series properties of forward discount in foreign exchange market / Aidil Rizal Shahrin Aidil Rizal, Shahrin HG Finance Recent literature has suggested that one explanation of the forward bias puzzle is the validity of econometric inference in testing the forward rate unbiasedness hypothesis (FRUH), which results in biased or size distortion. This is due to the highly persistent behaviour of the forward discount. Two models of time series with a highly persistent process are quite successful in explaining the puzzle; long memory and root near unity. However, Choi and Zivot (2007), who focus on long memory, and Sakoulis et al. (2010), who focus on the autoregressive ( 2015 Thesis NonPeerReviewed application/pdf http://studentsrepo.um.edu.my/6122/4/aidil.pdf Aidil Rizal, Shahrin (2015) Studies on time series properties of forward discount in foreign exchange market / Aidil Rizal Shahrin. PhD thesis, Universiti Malaya. http://studentsrepo.um.edu.my/6122/ |
| spellingShingle | HG Finance Aidil Rizal, Shahrin Studies on time series properties of forward discount in foreign exchange market / Aidil Rizal Shahrin |
| title | Studies on time series properties of forward discount in foreign exchange market / Aidil Rizal Shahrin
|
| title_full | Studies on time series properties of forward discount in foreign exchange market / Aidil Rizal Shahrin
|
| title_fullStr | Studies on time series properties of forward discount in foreign exchange market / Aidil Rizal Shahrin
|
| title_full_unstemmed | Studies on time series properties of forward discount in foreign exchange market / Aidil Rizal Shahrin
|
| title_short | Studies on time series properties of forward discount in foreign exchange market / Aidil Rizal Shahrin
|
| title_sort | studies on time series properties of forward discount in foreign exchange market / aidil rizal shahrin |
| topic | HG Finance |
| url | http://studentsrepo.um.edu.my/6122/4/aidil.pdf http://studentsrepo.um.edu.my/6122/ |
| url_provider | http://studentsrepo.um.edu.my/ |