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Common stochastic trends between forward and spot exchange rates

โœ Scribed by K.B Luintel; K Paudyal


Book ID
117427883
Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
308 KB
Volume
17
Category
Article
ISSN
0261-5606

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Understanding spot and forward exchange
โœ Weike Hai; Nelson C. Mark; Yangru Wu ๐Ÿ“‚ Article ๐Ÿ“… 1997 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 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