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Journal of international money and finance, ISSN 0261-5606, 2007, Volume 26, Issue 3, pp. 342 - 363
We analyze the evidence for long memory and structural changes in the five G7 countries' forward discount. We establish evidence for long memory by estimating... 
Structural changes | Forward discount rate unbiased hypothesis | Exchange rates | Long memory | Business & Economics | Business, Finance | Social Sciences | Prices and rates | Structural design | Evaluation | Analysis | Foreign exchange | Studies | Discount rates | Estimating techniques | Foreign exchange rates | Industrialized nations | Forward discount rate
Journal Article
The review of economics and statistics, ISSN 0034-6535, 5/2003, Volume 85, Issue 2, pp. 235 - 243
Journal Article
Journal of international money and finance, ISSN 0261-5606, 2000, Volume 19, Issue 6, pp. 785 - 812
We investigate the relationship between cointegration models of the current spot exchange rate, s t , and the current forward rate, f t , and cointegration... 
Exchange rates | Weak exogeneity | Cointegration | Forward rate unbiasedness hypothesis | Business & Economics | Business, Finance | Social Sciences | Prices and rates | Spot market | Models | Economic theory | Foreign exchange rates | Cointegration analysis | Forward exchange | International
Journal Article
Empirical economics, ISSN 0377-7332, 12/2010, Volume 39, Issue 3, pp. 897 - 921
Journal Article
Journal of econometrics, ISSN 0304-4076, 11/2014, Volume 183, Issue 1, pp. 117 - 134
Journal Article
Journal of financial markets (Amsterdam, Netherlands), ISSN 1386-4181, 2010, Volume 13, Issue 1, pp. 1 - 19
We analyze the structural determinants of two widely used measures of price discovery between multiple markets that trade closely related securities. Using a... 
Structural model | Permanent-transitory decomposition | Cointegration | Price discovery | Information shares | Business & Economics | Business, Finance | Social Sciences | Price discovery Cointegration Information shares Permanent-transitory decomposition Structural model
Journal Article
2006, 1. Aufl., ISBN 9780387279657, 1019
.... Eric Zivot is an associate professor... 
Mathematical models | Time-series analysis | Econometric models | S-Plus | Finance
eBook
2009, ISBN 3540712968, 1078
The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical... 
Finance | Statistical methods | Time-series analysis | Statistics and Computing/Statistics Programs | Statistics for Business, Management, Economics, Finance, Insurance | Econometrics | Mathematics and Statistics | Statistics | Quantitative Finance
eBook
Journal of international money and finance, ISSN 0261-5606, 09/2010, Volume 29, Issue 5, pp. 857 - 875
Journal Article
Macroeconomic dynamics, ISSN 1365-1005, 09/2001, Volume 5, Issue 4, pp. 533 - 576
... and University of Virginia ERIC ZIVOT University of Washington Previous studies investigating threshold behavior in real-exchange-rate and price difference data have used... 
Threshold Models | Cointegration | Nonlinearities | Law of One Price
Journal Article
Journal of statistical software, ISSN 1548-7660, 2011, Volume 41, Issue 5, pp. 1 - 27
This paper presents two illustrations of state space modeling in S-PLUS using the SsfPack 3.0 routines implemented in S+FinMetrics 3.0. The state space... 
S-plus | State space models | Software tools | state space models | S-PLUS | software tools
Journal Article
Journal of statistical software, ISSN 1548-7660, 05/2011, Volume 41, Issue 5, pp. 1 - 27
This paper presents two illustrations of state space modeling in S-PLUS using the Ssf-Pack 3.0 routines implemented in S+FinMetrics 3.0. The state space... 
Statistics & Probability | Physical Sciences | Computer Science, Interdisciplinary Applications | Technology | Computer Science | Mathematics | Science & Technology
Journal Article
International journal of forecasting, ISSN 0169-2070, 2011, Volume 27, Issue 2, pp. 579 - 591
Journal Article