A new look at the forward premium puzzle

Journal of Financial Econometrics

Volumn 7, Issue 3, 2009, Pages 312-338

  Gospodinov, Nikolay ^a  

^a Dept of Electrical and Computer Engineering   (Canada)

Author keywords

Forward premium anomaly; High persistence; Local to unity asymptotics; Low signal to noise ratio

Indexed keywords

EID: 67650105705     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbp002     Document Type: Article

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