Interest Rate Arbitrage in Currency Baskets : Forecasting Weights and Measuring Risk /
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...
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| Natura: | Periodico |
| Lingua: | English |
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Washington, D.C. :
International Monetary Fund,
1999.
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| Serie: | IMF Working Papers; Working Paper ;
No. 1999/016 |
| Accesso online: | Full text available on IMF |