Understanding spot and forward exchange
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Weike Hai; Nelson C. Mark; Yangru Wu
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Article
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1997
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John Wiley and Sons
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English
โ 236 KB
Using the Kalman ยฎlter, we obtain maximum likelihood estimates of a permanentยฑtransitory components model for log spot and forward dollar prices of the pound, the franc, and the yen. This simple parametric model is useful in understanding why the forward rate may be an unbiased predictor of the futu