London Business School. This paper builds on Chapter 6 of the author's doctoral dissertation at the Graduate School of Business, University of Chicago. He is very grateful to the members of his dissertation committee—Michael Mussa (Chairman), Joshua Aizenman, Robert Aliber, Jacob Frenkel, David Hsieh, John Huizinga, and Arnold Zellner—and to Michael Adler, Robert Cumby, Julian Franks, Andrew Harvey and an anonymous referee of this Journal for valuable suggestions and discussions. Helpful comments from seminar participants at the University of Chicago, the London Business School, INSEAD, the London School of Economics, the 1986 Western Finance Association Meetings in Colorado Springs, the 1986 North American Summer Meetings of the Econometric Society at Duke University, and the 1986 European Finance Association Meetings in Dublin are also gratefully acknowledged. Any remaining errors are the responsibility of the author.
Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal-Extraction Approach
Article first published online: 30 APR 2012
1987 The American Finance Association
The Journal of Finance
Volume 42, Issue 2, pages 395–406, June 1987
How to Cite
WOLFF, C. C. P. (1987), Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal-Extraction Approach. The Journal of Finance, 42: 395–406. doi: 10.1111/j.1540-6261.1987.tb02573.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
Options for accessing this content:
- If you have access to this content through a society membership, please first log in to your society website.
- If you would like institutional access to this content, please recommend the title to your librarian.
- Login via other institutional login options http://onlinelibrary.wiley.com/login-options.
- You can purchase online access to this Article for a 24-hour period (price varies by title)
- New Users: Please register, then proceed to purchase the article.
Registered Users please login:
- Access your saved publications, articles and searches
- Manage your email alerts, orders and subscriptions
- Change your contact information, including your password
Please register to:
- Save publications, articles and searches
- Get email alerts
- Get all the benefits mentioned below!