Non-Linear Models and The Forward Discount Anomaly : An Empirical Investigation.



In this paper, we propose a non-linear approach to  explain the forward discount anomaly. We use two classes of non-linear models: models with changes in mean and long memory process. Our empirical results show that the non-stationarity of the forward discount series is the causes of the rejection of the Forward Unbiased Hypothesis (FRUH). By investigating the forward discount series, we show that are characterized by a stationary long memory behavior which is amplified by the presence of breaks.

Full Text:



International Journal of Economics and Finance  ISSN  1916-971X (Print) ISSN  1916-9728 (Online)

Copyright © Canadian Center of Science and Education

To make sure that you can receive messages from us, please add the '' domain to your e-mail 'safe list'. If you do not receive e-mail in your 'inbox', check your 'bulk mail' or 'junk mail' folders.