ABSTRACT
Using the expectation operator at time t, we can write the forecast parameters over s 2 periods as
0 1 – +
= 0
0 Et pii,t+s-1/t+s-2
Et Bij,t+s-1/t+s-2(p) +
Et(Et+s-2 zi,t+s-1 p A(p)) Et Et+s-2 zi,t+s-1 zj,t+s-1
(p-1) A(p) =
= Et pii,t+s-1/t+s-2
Et Bij,t+s-1/t+s-2(p) Moreover, relations (44 and 46) are also verified for limit of p . Therefore, as a consequence of (45)
Bij,t + T/t ( ) = T
s = 1 lim
p Et Et + s-1
zi,t+s|zj,t+s| p – 1 A(p)
= T
s = 1 Et Bij, t + s/t + s – 1( ) = TBij, t + 1/t( )
ij, t + T/t = Bij, t + T/t( ) 2 – jj, t +T/t = TBij, t + 1/t( )T 2 - g 2 –
