Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal-Extraction Approach
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- Wolff, Christian C P, 1987. " Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal-Extraction Approach," Journal of Finance, American Finance Association, vol. 42(2), pages 395-406, June.
References listed on IDEAS
- Huizinga, John, 1987. "An empirical investigation of the long-run behavior of real exchange rates," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 27(1), pages 149-214, January.
- Willem H. Buiter & Douglas D. Purvis, 1980.
"Oil, Disinflation, and Export Competitiveness: A Model of the "Dutch Disease","
NBER Working Papers
0592, National Bureau of Economic Research, Inc.
- Buiter, William H & Purvis, Douglas D, 1980. "Oil, Disinflation, and Export Competitiveness : A Model of the "Dutch Disease"," The Warwick Economics Research Paper Series (TWERPS) 185, University of Warwick, Department of Economics.
- Eastwood, R K & Venables, A J, 1982. "The Macroeconomic Implications of a Resource Discovery in an Open Economy," Economic Journal, Royal Economic Society, vol. 92(366), pages 285-299, June.
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KeywordsExchange Rates; Financial Markets; Kalman Filter; Persistence; Premia; Signal Extraction; Time Series;
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