文章基本信息

标题：Non-Linear Models and The Forward Discount Anomaly : An Empirical Investigation.
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作者：LANOUAR CHARFEDDINE
期刊名称：International Journal of Economics and Finance
印刷版ISSN：1916-971X
电子版ISSN：1916-9728
出版年度：2014
卷号：2
期号：1
页码：81
DOI：10.5539/ijef.v2n1p81
语种：English
出版社：Canadian Center of Science and Education
摘要：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.