Verfügbarkeit: Interest Rate Arbitrage in Currency Baskets

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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1. Verfasser:	Christoffersen, Peter F. (VerfasserIn)
Format:	Elektronisch E-Book
Sprache:	English
Veröffentlicht:	Washington, D.C International Monetary Fund 1999
Schriftenreihe:	IMF Working Papers Working Paper No. 99/16
Online-Zugang:	UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext
Zusammenfassung:	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 rate arbitrage portfolio-appropriately 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 1992-February 1997)
Beschreibung:	1 Online-Ressource (30 p)
ISBN:	1451843380 9781451843385

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spelling	Christoffersen, Peter F. Verfasser aut Interest Rate Arbitrage in Currency Baskets Forecasting Weights and Measuring Risk Christoffersen, Peter F Washington, D.C International Monetary Fund 1999 1 Online-Ressource (30 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 99/16 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 rate arbitrage portfolio-appropriately 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 1992-February 1997) Online-Ausg Giorgianni, Lorenzo Sonstige oth http://elibrary.imf.org/view/IMF001/03634-9781451843385/03634-9781451843385/03634-9781451843385.xml Verlag URL des Erstveröffentlichers Volltext
spellingShingle	Christoffersen, Peter F. Interest Rate Arbitrage in Currency Baskets Forecasting Weights and Measuring Risk
title	Interest Rate Arbitrage in Currency Baskets Forecasting Weights and Measuring Risk
title_auth	Interest Rate Arbitrage in Currency Baskets Forecasting Weights and Measuring Risk
title_exact_search	Interest Rate Arbitrage in Currency Baskets Forecasting Weights and Measuring Risk
title_exact_search_txtP	Interest Rate Arbitrage in Currency Baskets Forecasting Weights and Measuring Risk
title_full	Interest Rate Arbitrage in Currency Baskets Forecasting Weights and Measuring Risk Christoffersen, Peter F
title_fullStr	Interest Rate Arbitrage in Currency Baskets Forecasting Weights and Measuring Risk Christoffersen, Peter F
title_full_unstemmed	Interest Rate Arbitrage in Currency Baskets Forecasting Weights and Measuring Risk Christoffersen, Peter F
title_short	Interest Rate Arbitrage in Currency Baskets
title_sort	interest rate arbitrage in currency baskets forecasting weights and measuring risk
title_sub	Forecasting Weights and Measuring Risk
url	http://elibrary.imf.org/view/IMF001/03634-9781451843385/03634-9781451843385/03634-9781451843385.xml
work_keys_str_mv	AT christoffersenpeterf interestratearbitrageincurrencybasketsforecastingweightsandmeasuringrisk AT giorgiannilorenzo interestratearbitrageincurrencybasketsforecastingweightsandmeasuringrisk

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