Neely, Christopher J. (contributor); … - 2003 - [Elektronische Ressource]
t
x
txt
xtmonthIbR ε+==
∑
=
12
1
))((
(1)
where R
t
is the implied one-month LIBOR interest rate for the … ))(( =
is an indicator
variable that takes the value one when date t occurs during month x.
18
We estimate equation (1) by … forecast errors (Jorion [1995]):
( ) ( )
11
'
ˆ
'
ˆ
−−
Ω=Σ XXXX
(3)
where , X is the T by K matrix of regressors, X …