RDP 8612: A Weekly Model of the Floating Australian Dollar
Equation
cov
(
(
1
−
L
)
μ
t
,
(
1
−
L
)
μ
t
−
j
)
=
cov
(
(
1
−
L
)
τ
t
+
π
t
,
(
1
−
L
)
τ
t
−
j
+
π
t
−
j
)
=
2
σ
t
2
+
σ
π
2
for
j
=
0
−
σ
τ
2
for
|
j
|
=
1
0
for
|
j
|
>
1
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