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Is the Karlsruhe premium a fair value premium?

✍ Scribed by Werner Hürlimann


Publisher
Springer-Verlag
Year
2004
Tongue
German
Weight
378 KB
Volume
26
Category
Article
ISSN
1864-0281

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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