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Interest Rate Arbitrage in Currency Baskets

Interest Rate Arbitrage in Currency Baskets »

Source: Interest Rate Arbitrage in Currency Baskets : Forecasting Weights and Measuring Risk

Volume/Issue: 1999/16

Series: IMF Working Papers

Author(s): Peter Christoffersen , and Lorenzo Giorgianni

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 1999

ISBN: 9781451843385

Keywords: Time-varying Parameters, Cointegration, Exchange Rates, exchange rate, equation, statistics, currency basket

When constructing hedged interest rate arbitrage portfolios for basket currencies, two issues arise: first, how are the unknown future basket weights optimally forecasted from past exchange rate data? And, second,...

Interest Rate Arbitrage in Currency Baskets
			: Forecasting Weights and Measuring Risk

Interest Rate Arbitrage in Currency Baskets : Forecasting Weights and Measuring Risk »

Volume/Issue: 1999/16

Series: IMF Working Papers

Author(s): Peter Christoffersen , and Lorenzo Giorgianni

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 1999

DOI: http://dx.doi.org/10.5089/9781451843385.001

ISBN: 9781451843385

Keywords: Time-varying Parameters, Cointegration, Exchange Rates, exchange rate, equation, statistics, currency basket

When constructing hedged interest rate arbitrage portfolios for basket currencies, two issues arise: first, how are the unknown future basket weights optimally forecasted from past exchange rate data? And, second,...