Title of article
Does the prediction horizon matter for the forward premium anomaly? Evidence from panel data
Author/Authors
Kun Yang، نويسنده , , Mototsugu Shintani، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2006
Pages
6
From page
255
To page
260
Abstract
The forward unbiasedness regression is revisited by varying the prediction horizons from 1 day to 1 year. The panel data suggests some possibility of a positive slope coefficient at a short horizon while the negative coefficient improves forecasting performance at longer horizons.
Keywords
Out-of-sample forecast , Uncovered Interest Parity , Forward premium puzzle
Journal title
Economics Letters
Serial Year
2006
Journal title
Economics Letters
Record number
436075
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