𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Is the forward premium puzzle universal?

✍ Scribed by Han, Bing


Book ID
126653064
Publisher
Taylor and Francis Group
Year
2004
Tongue
English
Weight
94 KB
Volume
11
Category
Article
ISSN
1350-4851

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A new look at the forward premium β€œpuzzl
✍ Haitham A. Al-Zoubi πŸ“‚ Article πŸ“… 2010 πŸ› John Wiley and Sons 🌐 English βš– 241 KB

We decompose the spot and forward rates into (permanent) nonlinear trend components and (transitory) stationary components. We examine the unbiasedness of the permanent (transitory) component of the forward rate in predicting the permanent (transitory) component of its corresponding future spot rate