Series: IMF Working Papers
Author(s): Peter Christoffersen , and Lorenzo Giorgianni
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 January 1999
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,...