๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Spot and Forward Exchange Rates: A Causality Analysis

โœ Scribed by Jeffrey L. Callen; M. W. Luke Chan; Clarence C. Y. Kwan


Book ID
111105353
Publisher
John Wiley and Sons
Year
1989
Tongue
English
Weight
642 KB
Volume
16
Category
Article
ISSN
0306-686X

No coin nor oath required. For personal study only.


๐Ÿ“œ SIMILAR VOLUMES


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