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Less of a puzzle: a new look at the forward forex market

✍ Scribed by Michael J. Moore; Maurice J. Roche


Book ID
117140136
Publisher
Elsevier Science
Year
2002
Tongue
English
Weight
234 KB
Volume
58
Category
Article
ISSN
0022-1996

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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