Forecasting the spot exchange rate with the term structure of forward premia : multivariate threshold cointegration

Michel R. van Tol and Christian C. Wolff

Year of publication:	2005
Authors:	Tol, Michel R. van ; Wolff, Christiaan Cornelis Petrus
Publisher:	London : Centre for Economic Policy Research
Subject:	VAR-Modell \| VAR model \| Derivat \| Derivative \| Zinsstruktur \| Yield curve \| Kointegration \| Cointegration

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