Studies on time series properties of forward discount in foreign exchange market / Aidil Rizal Shahrin

Aidil Rizal, Shahrin (2015) Studies on time series properties of forward discount in foreign exchange market / Aidil Rizal Shahrin. PhD thesis, Universiti Malaya.

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    Abstract

    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 (

    Item Type: Thesis (PhD)
    Additional Information: Thesis (PhD) - Institute of Graduate Studies, Universiti Malaya, 2015.
    Uncontrolled Keywords: Foreign Exchange Market; Econometric inference; Currencies; Time series properties; Forward discount
    Subjects: H Social Sciences > HG Finance
    Divisions: Institute of Graduate Studies
    Depositing User: Mrs Nur Aqilah Paing
    Date Deposited: 25 Feb 2016 10:37
    Last Modified: 25 Nov 2021 07:35
    URI: http://studentsrepo.um.edu.my/id/eprint/6122

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