Constant Gain Learning as a Solution to the Forward Premium Puzzle in the Presence of Structural Breaks

Marek Raczko ()

Chapter 7 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2008, vol. 6, pp 89-101 from University of Lodz

Abstract: Raczko (Chapter 7) describes in details the constant-gain learning procedure as a possible solution to the for-ward premium puzzle in the presence of structural breaks. His Monte Carlo study mimics some stylized facts found in the literature.

Keywords: Forward premium puzzle; Structural breaks; Monte Carlo simulation (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2008
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