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The Long Memory Behavior of the EUR/USD Forward Premium

Year 2017, Volume: 7 Issue: 3, 437 - 443, 01.09.2017

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.

Year 2017, Volume: 7 Issue: 3, 437 - 443, 01.09.2017

Abstract

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Details

Other ID JA56CN95KG
Journal Section Research Article
Authors

Nessrine Hamzaoui This is me

Boutheina Regaieg This is me

Publication Date September 1, 2017
Published in Issue Year 2017 Volume: 7 Issue: 3

Cite

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.
AMA Hamzaoui N, Regaieg B. The Long Memory Behavior of the EUR/USD Forward Premium. IJEFI. September 2017;7(3):437-443.
Chicago Hamzaoui, Nessrine, and Boutheina Regaieg. “The Long Memory Behavior of the EUR/USD Forward Premium”. International Journal of Economics and Financial Issues 7, no. 3 (September 2017): 437-43.
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 N. Hamzaoui and B. Regaieg, “The Long Memory Behavior of the EUR/USD Forward Premium”, IJEFI, vol. 7, no. 3, pp. 437–443, 2017.
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 2017), 437-443.
JAMA 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, 2017, pp. 437-43.
Vancouver Hamzaoui N, Regaieg B. The Long Memory Behavior of the EUR/USD Forward Premium. IJEFI. 2017;7(3):437-43.