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  • Forward Rate JMCB 1988 T.C.20Chiang

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    Mitru Stefan
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    This document summarizes a 1988 journal article titled "The Forward Rate as a Predictor of the Future Spot Rate—A Stochastic Coefficient Approach" published in the Journal of Money, Credit and Banking. The article, written by Thomas C. Chiang of Drexel University, received 66 citations and had over 1,000 reads. It estimated comovements using a dynamic conditional correlation model and examined whether the forward rate can predict future spot rates.

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    This document summarizes a 1988 journal article titled "The Forward Rate as a Predictor of the Future Spot Rate—A Stochastic Coefficient Approach" published in the Journal of Money, Credit and Banking. The article, written by Thomas C. Chiang of Drexel University, received 66 citations and had over 1,000 reads. It estimated comovements using a dynamic conditional correlation model and examined whether the forward rate can predict future spot rates.

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    © All Rights Reserved
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    7 views23 pages

    Forward Rate JMCB 1988 T.C.20Chiang

    Uploaded by

    Mitru Stefan
    This document summarizes a 1988 journal article titled "The Forward Rate as a Predictor of the Future Spot Rate—A Stochastic Coefficient Approach" published in the Journal of Money, Credit and Banking. The article, written by Thomas C. Chiang of Drexel University, received 66 citations and had over 1,000 reads. It estimated comovements using a dynamic conditional correlation model and examined whether the forward rate can predict future spot rates.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Flag for inappropriate content
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    See discussions, stats, and author profiles for this publication at: https://www.researchgate.

    net/publication/5167345

    The Forward Rate as a Predictor of the Future Spot Rate—A Stochastic


    Coefficient Approach

    Article  in  Journal of money credit and banking · February 1988


    DOI: 10.2307/1992112 · Source: RePEc

    CITATIONS READS
    66 1,074

    1 author:

    Thomas C. Chiang
    Drexel University
    110 PUBLICATIONS   2,607 CITATIONS   

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    This model estimates comovements using a DCC model. View project

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