RDP 9111: Monthly Movements in the Australian Dollar and Real Short-Term Interest Differentials: An Application of the Kalman Filter
Equation (16)
σ
q
2
=
[
β
2
(
1
−
ρ
)
2
]
σ
E
(
d
)
2
+
σ
w
2
+
2
σ
E
(
d
)
,
w
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