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.
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KeywordsExchange Rates; Financial Markets; Kalman Filter; Persistence; Premia; Signal Extraction; Time Series;
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