Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly

By Alex Maynard, Peter C. B. Phillips. 2001

196 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/fd33140f78022f4acd688c0ee2b7cc156c142515

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Citations in the corpus

The forward premium anomaly is not as bad as you think (2000, methodology): “Important progress for a simpler time series model, without FIGARCH in the mean effects, has recently been made by Maynard and Phillips (1998) .”
EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND (2009, unknown): “…Hitotsubashi University, 2–1, Naka, Kunitachi, Tokyo, 186–8601, Japan; e-mail: shimotsu@econ.hit-u.ac.jp. c© Cambridge University Press, 2009 0266-4666/10 $15.00 501 (Backus and Zin, 1993), international finance (Maynard and Phillips, 2001), and economic growth (Michelacci and Zaffaroni, 2000).”
Long Memory and Structural Changes in the Forward Discount: An Empirical Investigation (2007, methodology): “Maynard and Phillips (2001) chose 0.75α = with 3,000 observations.”
Log Periodogram Regression: The Nonstationary Case (2006, unknown): “The dominant term in (16) is ̄̄̄¡ 1− eiλs ¢−d 1 nd ̄̄̄2d |wu (λs)|(2) as we will show in the appendix, and it is the other terms that are now of lesser order.”
Do Asymmetric and Nonlinear Adjustments Explain the Forward Premium Anomaly (2006, background): “These issues are analyzed by Baillie and Bollerslev (2000) and Maynard and Phillips (2001) .”
Testing Long-Horizon Predictive Ability with High Persistence, and the Meese-Rogoff Puzzle (2005, unknown): “Other recent works related to the present paper are Baillie and Bollerslev (2000) and Maynard and Phillips (2001), who suggest that another well-known empirical puzzle in international economics (the forward discount anomaly) might be explained by persistent variance or long memory.”
Long Memory Dynamics for Multivariate Dependence under Heavy Tails (2014, unknown): “The estimates of the fractional order of integration d for the threshold realised volatility are computed using the log-periodogram regression method GPH of Geweke and PorterHudak (1983); for the details, see Maynard and Phillips (2001). The resulting estimates are all between 0 and 1, and they are ”