The forward premium puzzle in a model of imperfect information

DOI10.1016/J.ECONLET.2007.09.016zbMath1255.91322OpenAlexW2051016017MaRDI QIDQ1934799

Rui Albuquerque

Publication date: 29 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2007.09.016

zbMATH Keywords

Kalman filterfixed effectsconditional heteroskedasticityforward premium puzzleimperfect information

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Macroeconomic theory (monetary models, models of taxation) (91B64) Interest rates, asset pricing, etc. (stochastic models) (91G30) Statistical methods; economic indices and measures (91B82)

Cites Work

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