Hidden Bibliographic Details
| Other authors / contributors: | Giorgianni, Lorenzo.
International Monetary Fund. Asia and Pacific Department.
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| ISBN: | 1451891318
9781451891317
9781451843385
1451843380
1462316794
9781462316793
1452751315
9781452751313
1281604356
9781281604354
9786613785046
6613785040
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| Notes: | Includes bibliographical references (pages 29-30).
Restrictions unspecified
Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010.
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. http://purl.oclc.org/DLF/benchrepro0212
English.
digitized 2010 HathiTrust Digital Library committed to preserve
Print version record.
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| Summary: | Annotation 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).
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| Other form: | Print version: Christoffersen, Peter F. Interest rate arbitrage in currency baskets. [Washington, D.C.] : International Monetary Fund, Asia and Pacific Dept., ©1999
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| Standard no.: | 10.5089/9781451891317.001
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