A DYMIMIC MODEL OF FORWARD FOREIGN EXCHANGE RISK, WITH ESTIMATES FOR THREE MAJOR EXCHANGE RATES
1988; Wiley; Volume: 56; Issue: 1 Linguagem: Inglês
10.1111/j.1467-9957.1988.tb01318.x
ISSN1467-9957
Autores Tópico(s)Market Dynamics and Volatility
ResumoThe Manchester SchoolVolume 56, Issue 1 p. 55-68 A DYMIMIC MODEL OF FORWARD FOREIGN EXCHANGE RISK, WITH ESTIMATES FOR THREE MAJOR EXCHANGE RATES MARK P. TAYLOR, MARK P. TAYLOR University of Dundee, Bank of England and Centre for Economic Policy Research, London †This paper has been substantially improved following the constructive comments of two anonymous referas. I am also grateful to Mike Artis, Charles Goodhart, David Gowland and Patrick McMahon for comments on an earlier draft. Any remaining errors are my responsibility. Any views expressed are mine and are not necssarily those of the Bank of England.Search for more papers by this author MARK P. TAYLOR, MARK P. TAYLOR University of Dundee, Bank of England and Centre for Economic Policy Research, London †This paper has been substantially improved following the constructive comments of two anonymous referas. I am also grateful to Mike Artis, Charles Goodhart, David Gowland and Patrick McMahon for comments on an earlier draft. Any remaining errors are my responsibility. Any views expressed are mine and are not necssarily those of the Bank of England.Search for more papers by this author First published: March 1988 https://doi.org/10.1111/j.1467-9957.1988.tb01318.xCitations: 18 AboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL REFERENCES Anderson, B. D. O. and Moore, J. B. (1979). Optimal Filtering, Englewood Cliffs , N.J. , Prentice-Hall. Baillie, R. T., Lippens, R. E. and McMahon, P. C. 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