Interest Rate Arbitrage in Currency Baskets--Forecasting Weights and Measuring Risk
30 Pages Posted: 17 Aug 2007
Date Written: Janurary 1999
Abstract
Keywords: Interest rates, Exchange rates, Economic models
Suggested Citation: Suggested Citation
Giorgianni, Lorenzo and Christoffersen, Peter, Interest Rate Arbitrage in Currency Baskets--Forecasting Weights and Measuring Risk (Janurary 1999). IMF Working Paper No. 99/16, Available at SSRN: https://ssrn.com/abstract=1006317
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