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Revisiting the forward-spot relation: An application of the nonparametric long-run correlation coefficient

Kanas, Angelos, Ioannidis, Christos (2012) Revisiting the forward-spot relation: An application of the nonparametric long-run correlation coefficient. Journal of Economics and Finance, 36 (1). pp. 148-161. ISSN 1055-0925. (doi:10.1007/s12197-010-9135-x) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication)
Official URL
http://dx.doi.org/10.1007/s12197-010-9135-x

Abstract

This study revisits the statistical relationship between the spot and the forward rate. Unlike previous studies, this association is measured by the estimation of the long-run correlation coefficient, a non-parametric measure of linear association. This estimator was shown to be equivalent to the Bartlett kernel spectral estimator of the complex coherency at frequency zero. This statistic allows for the measurement of the intensity of correlation. Using data for the £/DM over the May 1992 British General Election and September 1992 ERM devaluation, and for the FF/DM, BEF/DM, AT/DM, and NLG/DM up to the introduction of Euro, the results show that the predictive ability of the forward rate increased. © 2010 Springer Science+Business Media, LLC.

Item Type: Article
DOI/Identification number: 10.1007/s12197-010-9135-x
Additional information: Unmapped bibliographic data: AD - Department of Economics, University of Piraeus, 80 Karaoli and Demetriou str., 18534 Piraeus, Greece [Field not mapped to EPrints] AD - University of Bath, Bath, United Kingdom [Field not mapped to EPrints] JA - J. Econ. Financ. [Field not mapped to EPrints]
Uncontrolled keywords: Forward, Long-Run Correlation Coefficient, Peso Problem, Spot
Subjects: H Social Sciences > HG Finance
Divisions: Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Tracey Pemble
Date Deposited: 22 May 2014 11:50 UTC
Last Modified: 29 May 2019 12:36 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/41131 (The current URI for this page, for reference purposes)
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