๐”– Bobbio Scriptorium
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Spot rates, forward rates and exchange market efficiency

โœ Scribed by Bradford Cornell


Book ID
116126486
Publisher
Elsevier Science
Year
1977
Tongue
English
Weight
569 KB
Volume
5
Category
Article
ISSN
0304-405X

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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