EN
The Long Memory Behavior of the EUR/USD Forward Premium
Abstract
This paper empirically investigates the contribution of the term structure of the forward premium to explain the long memory behavior that can characterize the forward premium. We apply our empirical study on1-month, 3-month, 6-month, 9-month and 1-year forward premiums of the EUR/USD over 17 years with a daily frequency from 08 January 1999 to 08 January 2016. Therefore, we estimate the ARFIMA model by a semi-parametric method that is Geweke and Porter-Hudak (1983) and a parametric model namely the maximum likelihood method. The estimation results of long memory parameter confirm the persistence and the fractional dynamics of the forward premium. Moreover, both approaches are consistent when it is the case of 6, 9 and 12 months horizons. These findings bring into question the relevance of the term structure of the foreign exchange forward premium in the determination of the long memory attitude.
Keywords
Details
Primary Language
English
Subjects
-
Journal Section
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Publication Date
September 1, 2017
Submission Date
September 1, 2017
Acceptance Date
-
Published in Issue
Year 2017 Volume: 7 Number: 3
APA
Hamzaoui, N., & Regaieg, B. (2017). The Long Memory Behavior of the EUR/USD Forward Premium. International Journal of Economics and Financial Issues, 7(3), 437-443. https://izlik.org/JA83XB98BY
AMA
1.Hamzaoui N, Regaieg B. The Long Memory Behavior of the EUR/USD Forward Premium. IJEFI. 2017;7(3):437-443. https://izlik.org/JA83XB98BY
Chicago
Hamzaoui, Nessrine, and Boutheina Regaieg. 2017. “The Long Memory Behavior of the EUR USD Forward Premium”. International Journal of Economics and Financial Issues 7 (3): 437-43. https://izlik.org/JA83XB98BY.
EndNote
Hamzaoui N, Regaieg B (September 1, 2017) The Long Memory Behavior of the EUR/USD Forward Premium. International Journal of Economics and Financial Issues 7 3 437–443.
IEEE
[1]N. Hamzaoui and B. Regaieg, “The Long Memory Behavior of the EUR/USD Forward Premium”, IJEFI, vol. 7, no. 3, pp. 437–443, Sept. 2017, [Online]. Available: https://izlik.org/JA83XB98BY
ISNAD
Hamzaoui, Nessrine - Regaieg, Boutheina. “The Long Memory Behavior of the EUR USD Forward Premium”. International Journal of Economics and Financial Issues 7/3 (September 1, 2017): 437-443. https://izlik.org/JA83XB98BY.
JAMA
1.Hamzaoui N, Regaieg B. The Long Memory Behavior of the EUR/USD Forward Premium. IJEFI. 2017;7:437–443.
MLA
Hamzaoui, Nessrine, and Boutheina Regaieg. “The Long Memory Behavior of the EUR USD Forward Premium”. International Journal of Economics and Financial Issues, vol. 7, no. 3, Sept. 2017, pp. 437-43, https://izlik.org/JA83XB98BY.
Vancouver
1.Nessrine Hamzaoui, Boutheina Regaieg. The Long Memory Behavior of the EUR/USD Forward Premium. IJEFI [Internet]. 2017 Sep. 1;7(3):437-43. Available from: https://izlik.org/JA83XB98BY