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Cointegration and forward and spot exchange rate regressions

โœ Scribed by Eric Zivot


Book ID
117427642
Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
232 KB
Volume
19
Category
Article
ISSN
0261-5606

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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