Publications [#238025] of Tim Bollerslev

Journal Articles

1. Baillie, RT; Bollerslev, T, The long memory of the forward premium, Journal of International Money and Finance, vol. 13 no. 5 (January, 1994), pp. 565-571, Elsevier BV, ISSN 0261-5606 [doi]
   (last updated on 2024/04/18)

   Abstract:
   The estimation of ARFIMA models by approximate maximum likelihood estimation methods, reveals the forward premia for the currencies of Canada, Germany and the UK vis-à-vis the US dollar, to be well described by a fractionally integrated process. These models imply that all the forward premia are mean reverting, although their autocorrelations are quite persistent. This degree of persistence has led other studies to erroneously conclude that the forward premia contains a unit root. (JEL C22, E31). © 1994.