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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Bibliografske podrobnosti
Glavni avtor: Christoffersen, Peter
Drugi avtorji: Giorgianni, Lorenzo
Format: Revija
Jezik:English
Izdano: Washington, D.C. : International Monetary Fund, 1999.
Serija:IMF Working Papers; Working Paper ; No. 1999/016
Online dostop:Full text available on IMF