RDP 9111: Monthly Movements in the Australian Dollar and Real Short-Term Interest Differentials: An Application of the Kalman Filter
Equation (17)
σ
2
q
(
T
)
=
β
2
(
1
−
ρ
)
2
[
λ
2
σ
2
2
+
σ
1
2
]
(
1
+
ρ
2
+
ρ
4
+
…
ρ
2
(
T
−
1
)
)
+
T
σ
3
2
+
2
β
σ
13
1
−
ρ
(
1
+
ρ
+
ρ
2
+
…
ρ
T
−
1
)
MathType@MTEF@5@5@+= feaagKart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn hiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr 4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq=Jc9 vqaqpepm0xbba9pwe9Q8fs0=yqaqpepae9pg0FirpepeKkFr0xfr=x fr=xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGceaqabeaacqaHdp WCdaahaaWcbeqaaiaaikdaaaGccaqGXbWaaSbaaSqaaiaacIcacaqG ubGaaiykaaqabaGccqGH9aqpdaWcaaqaaiabek7aInaaCaaaleqaba GaaGOmaaaaaOqaaiaacIcacaaIXaGaeyOeI0IaeqyWdiNaaiykamaa CaaaleqabaGaaGOmaaaaaaGccaGGBbGaeq4UdW2aaWbaaSqabeaaca aIYaaaaOGaeq4Wdm3aa0baaSqaaiaaikdaaeaacaaIYaaaaOGaey4k aSIaeq4Wdm3aa0baaSqaaiaaigdaaeaacaaIYaaaaOGaaiyxaiaacI cacaaIXaGaey4kaSIaeqyWdi3aaWbaaSqabeaacaaIYaaaaOGaey4k aSIaeqyWdi3aaWbaaSqabeaacaaI0aaaaOGaey4kaSIaeSOjGSKaeq yWdi3aaWbaaSqabeaacaaIYaGaaiikaiaabsfacqGHsislcaaIXaGa aiykaaaakiaacMcacqGHRaWkcaqGubGaeq4Wdm3aa0baaSqaaiaaio daaeaacaaIYaaaaaGcbaGaey4kaSYaaSaaaeaacaaIYaGaeqOSdiMa eq4Wdm3aaSbaaSqaaiaaigdacaaIZaaabeaaaOqaaiaaigdacqGHsi slcqaHbpGCaaGaaiikaiaaigdacqGHRaWkcqaHbpGCcqGHRaWkcqaH bpGCdaahaaWcbeqaaiaaikdaaaGccqGHRaWkcqWIMaYscqaHbpGCda ahaaWcbeqaaiaabsfacqGHsislcaaIXaaaaOGaaiykaaaaaa@817F@