Bhar, Ramaprasad; Chiarella, Carl - In: International Journal of Monetary Economics and Finance 2 (2009) 2, pp. 115-125
The existence of risk premium is thought to be the reason why forward exchange rate is not an unbiased predictor of future spot exchange rate. In this paper we review two methodologies for inferring this unobserved risk premium based upon signal extraction mechanism. One approach relies on the...
