The forward rate premium puzzle: a case of misspecification?1)

DOI10.1515/snde-2013-0009zbMath1506.62508OpenAlexW2158442602MaRDI QIDQ5881692

Amangeldi Kenjegaliev, Stephen G. Hall, P. A. V. B. Swamy, George S. Tavlas

Publication date: 13 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2013-0009

zbMATH Keywords

forward premium anomalyspurious relationshiptime-varying-coefficient

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (1)

Testing the persistence of the forward premium: structural changes or misspecification?

This page was built for publication: The forward rate premium puzzle: a case of misspecification?1)