Covered interest parity arbitrage and long-term dependence between the US dollar and the Yen

J.A. Batten, P.G. Szilagyi

Research output: Contribution to journalArticleScientificpeer-review

Original languageEnglish
Pages (from-to)409-421
JournalPhysica A: Statistical Mechanics and its Applications
Volume376
Publication statusPublished - 2007

Cite this

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title = "Covered interest parity arbitrage and long-term dependence between the US dollar and the Yen",
author = "J.A. Batten and P.G. Szilagyi",
year = "2007",
language = "English",
volume = "376",
pages = "409--421",
journal = "Physica A: Statistical Mechanics and its Applications",
issn = "0378-4371",
publisher = "Elsevier",

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Covered interest parity arbitrage and long-term dependence between the US dollar and the Yen. / Batten, J.A.; Szilagyi, P.G.

In: Physica A: Statistical Mechanics and its Applications, Vol. 376, 2007, p. 409-421.

Research output: Contribution to journalArticleScientificpeer-review

TY - JOUR

T1 - Covered interest parity arbitrage and long-term dependence between the US dollar and the Yen

AU - Batten, J.A.

AU - Szilagyi, P.G.

PY - 2007

Y1 - 2007

M3 - Article

VL - 376

SP - 409

EP - 421

JO - Physica A: Statistical Mechanics and its Applications

JF - Physica A: Statistical Mechanics and its Applications

SN - 0378-4371

ER -