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|z 9781451843385
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|a 1018-5941
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|c BD-DhAAL
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|a Christoffersen, Peter.
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|a Interest Rate Arbitrage in Currency Baskets :
|b Forecasting Weights and Measuring Risk /
|c Peter Christoffersen, Lorenzo Giorgianni.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 1999.
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|a 1 online resource (30 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a 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, how is risk-in terms of the conditional variance of expected profits from the interest rate arbitrage portfolio-appropriately measured when the basket weights are time-varying? Answers to these questions are provided within a time-varying parameter modeling framework estimated through the Kalman filter. An empirical application is devoted to the experience of the Thai baht currency basket (January 1992-February 1997).
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|a Mode of access: Internet
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|a Giorgianni, Lorenzo.
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|a IMF Working Papers; Working Paper ;
|v No. 1999/016
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/1999/016/001.1999.issue-016-en.xml
|z IMF e-Library
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