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Revisiting the forward-spot relation: An application of the nonparametric long-run correlation coefficient


Reference:

Kanas, A. and Ioannidis, C., 2012. Revisiting the forward-spot relation: An application of the nonparametric long-run correlation coefficient. Journal of Economics and Finance, 36 (1), pp. 148-161.

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Official URL:

http://dx.doi.org/10.1007/s12197-010-9135-x

Abstract

This study revisits the statistical relationship between the spot and the forward rate. Unlike previous studies, this association is measured by the estimation of the long-run correlation coefficient, a non-parametric measure of linear association. This estimator was shown to be equivalent to the Bartlett kernel spectral estimator of the complex coherency at frequency zero. This statistic allows for the measurement of the intensity of correlation. Using data for the £/DM over the May 1992 British General Election and September 1992 ERM devaluation, and for the FF/DM, BEF/DM, AT/DM, and NLG/DM up to the introduction of Euro, the results show that the predictive ability of the forward rate increased.

Details

Item Type Articles
CreatorsKanas, A.and Ioannidis, C.
DOI10.1007/s12197-010-9135-x
DepartmentsFaculty of Humanities & Social Sciences > Economics
RefereedYes
StatusPublished
ID Code29399

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