Interest rate arbitrage in currency baskets : forecasting weights and measuring risk /
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| Author / Creator: | Christoffersen, Peter F. |
|---|---|
| Imprint: | [Washington, D.C.] : International Monetary Fund, Asia and Pacific Dept., ©1999. |
| Description: | 1 online resource (30 pages) : illustrations |
| Language: | English |
| Series: | IMF working paper, 2227-8885 ; WP/99/16 IMF working paper ; WP/99/16. |
| Subject: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/12496071 |
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| 050 | 4 | |a HG3881.5.I58 |b W67 no.99/16 | |
| 100 | 1 | |a Christoffersen, Peter F. | |
| 245 | 1 | 0 | |a Interest rate arbitrage in currency baskets : |b forecasting weights and measuring risk / |c prepared by Peter Christoffersen and Lorenzo Giorgianni. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, Asia and Pacific Dept., |c ©1999. | ||
| 300 | |a 1 online resource (30 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a IMF working paper, |x 2227-8885 ; |v WP/99/16 | |
| 504 | |a Includes bibliographical references (pages 29-30). | ||
| 506 | |3 Use copy |f Restrictions unspecified |2 star |5 MiAaHDL | ||
| 533 | |a Electronic reproduction. |b [Place of publication not identified] : |c HathiTrust Digital Library, |d 2010. |5 MiAaHDL | ||
| 538 | |a Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. |u http://purl.oclc.org/DLF/benchrepro0212 |5 MiAaHDL | ||
| 583 | 1 | |a digitized |c 2010 |h HathiTrust Digital Library |l committed to preserve |2 pda |5 MiAaHDL | |
| 588 | 0 | |a Print version record. | |
| 520 | 8 | |a Annotation |b 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 riskin terms of the conditional variance of expected profits from the interest rate arbitrage portfolioappropriately 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 1992February 1997). | |
| 546 | |a English. | ||
| 650 | 0 | |a Interest rates |x Forecasting |x Econometric models. | |
| 650 | 0 | |a Interest rate risk |x Econometric models. | |
| 650 | 0 | |a Foreign exchange rates |x Econometric models. | |
| 650 | 0 | |a Currency convertibility |x Econometric models. | |
| 651 | 0 | |a Cointegration |x Econometric models. | |
| 650 | 0 | |a Cointegration |x Econometric models. | |
| 650 | 6 | |a Taux d'intérêt |x Prévision |x Modèles économétriques. | |
| 650 | 6 | |a Taux d'intérêt |x Gestion du risque |x Modèles économétriques. | |
| 650 | 6 | |a Taux de change |x Modèles économétriques. | |
| 650 | 6 | |a Monnaie |x Convertibilité |x Modèles économétriques. | |
| 650 | 6 | |a Cointégration |x Modèles économétriques. | |
| 650 | 7 | |a Currency convertibility |x Econometric models. |2 fast |0 (OCoLC)fst00885321 | |
| 650 | 7 | |a Econometric models. |2 fast |0 (OCoLC)fst00901567 | |
| 650 | 7 | |a Foreign exchange rates |x Econometric models. |2 fast |0 (OCoLC)fst00931818 | |
| 650 | 7 | |a Interest rate risk |x Econometric models. |2 fast |0 (OCoLC)fst00976171 | |
| 650 | 7 | |a Interest rates |x Forecasting |x Econometric models. |2 fast |0 (OCoLC)fst00976186 | |
| 700 | 1 | |a Giorgianni, Lorenzo. | |
| 710 | 2 | |a International Monetary Fund. |b Asia and Pacific Department. |0 http://id.loc.gov/authorities/names/no97006778 | |
| 776 | 0 | 8 | |i Print version: |a Christoffersen, Peter F. |t Interest rate arbitrage in currency baskets. |d [Washington, D.C.] : International Monetary Fund, Asia and Pacific Dept., ©1999 |w (OCoLC)40894650 |
| 830 | 0 | |a IMF working paper ; |v WP/99/16. |0 http://id.loc.gov/authorities/names/no89010263 | |
| 856 | 4 | 0 | |u http://elibrary.imf.org/view/journals/001/1999/016/001.1999.issue-016-en.xml |y INTERNATIONAL MONETARY FUND |
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| 928 | |t Library of Congress classification |a HG3881.5.I58W67 no.99/16 |l Online |c UC-FullText |u http://elibrary.imf.org/view/journals/001/1999/016/001.1999.issue-016-en.xml |z INTERNATIONAL MONETARY FUND |g ebooks |i 12140092 | ||