Nijman, Theo E; Palm, Franz C; Wolff, Christian C P - In: Journal of Business & Economic Statistics 11 (1993) 3, pp. 361-65
We reconsider the signal-extraction approach to measuring premia in the pricing of forward foreign exchange, put forward by Wolff, in which the difference between the forward rate and the associated future spot rate is modeled as an autoregressive moving average (ARMA) model for the risk premium...