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Deviations from uncovered interest parity : a Kalman filter approach to the Mark/Dollar rate and the Swiss Franc/Dollar rate
König, Peter; Möller, Joachim - 1988
The present paper analyzes deviations from Uncovered Interest Parity by applying a Kalman filter procedure based on optimal initial information to the estimation of this arbitrage equilibrium for the Mark/Dollar rate and the Swiss Franc/Dollar rate. The results demonstrate that the hypothesis of...
Persistent link: https://www.econbiz.de/10009576229
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Abweichungen von der ungedeckten Zinsparität : ein Kalman-Filter-Ansatz für den DM-Dollar- und den SFr-Dollar-Wechselkurs
König, Peter - In: Kredit und Kapital 23 (1990) 1, pp. 86-107
Persistent link: https://www.econbiz.de/10001084818
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Exchange rates, forward rates and interest differentials
König, Peter - In: Geld und Währung 5 (1989) 2, pp. 5-29
Persistent link: https://www.econbiz.de/10001065517
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Abweichungen von der Ungedeckten Zinsparität
König, Peter; Möller, Joachim - In: Kredit und Kapital 23 (1990) 1, pp. 86-107
Abweichungen von der Ungedeckten Zinsparität – Ein Kalman-Filter-Ansatz für den DM/Dollar- und den SFr/Dollar-Wechselkurs Die vorliegende Arbeit analysiert Abweichungen von der Ungedeckten Zinsparität durch Anwendung der Kalman-Filter-Methode auf die entsprechenden Schätzgleichungen für...
Persistent link: https://www.econbiz.de/10014521831
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Deviations from uncovered interest parity: A Kalman filter approach to the Mark/Dollar rate and the Swiss Franc/Dollar rate
König, Peter; Möller, Joachim - 1988
The present paper analyzes deviations from Uncovered Interest Parity by applying a Kalman filter procedure based on optimal initial information to the estimation of this arbitrage equilibrium for the Mark/Dollar rate and the Swiss Franc/Dollar rate. The results demonstrate that the hypothesis of...
Persistent link: https://www.econbiz.de/10010398017
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Deviations from uncovered interest parity: A Kalman filter approach to the Mark/Dollar rate and the Swiss Franc/Dollar rate
König, Peter; Möller, Joachim - Fachbereich Wirtschaftswissenschaften, Universität Konstanz - 1988
The present paper analyzes deviations from Uncovered Interest Parity by applying a Kalman filter procedure based on optimal initial information to the estimation of this arbitrage equilibrium for the Mark/Dollar rate and the Swiss Franc/Dollar rate. The results demonstrate that the hypothesis of...
Persistent link: https://www.econbiz.de/10010986280