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The profitability of interest arbitrage when the base currency is pegged to a basket

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  • Imad Moosa

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    File URL: http://hdl.handle.net/10.1007/s11156-010-0204-1
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    Bibliographic Info

    Article provided by Springer in its journal Review of Quantitative Finance and Accounting.

    Volume (Year): 37 (2011)
    Issue (Month): 3 (October)
    Pages: 267-281

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    Handle: RePEc:kap:rqfnac:v:37:y:2011:i:3:p:267-281

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    Web page: http://springerlink.metapress.com/link.asp?id=102990

    Related research

    Keywords: Currency baskets; Interest arbitrage; Monte Carlo simulations; F31;

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    1. Christoffersen, Peter F & Giorgianni, Lorenzo, 2000. "Interest-Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(2), pages 242-53, April.
    2. Balvers, Ronald & Wu, Yangru, 2010. "Optimal transaction filters under transitory trading opportunities: Theory and empirical illustration," Journal of Financial Markets, Elsevier, vol. 13(1), pages 129-156, February.
    3. Lars Hörngren & Anders Vredin, 1989. "Exchange risk premia in a currency basket system," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 125(2), pages 311-325, June.
    4. Pikkarainen, Pentti, 1991. "International portfolio diversification: the basket-peg regime," Journal of International Money and Finance, Elsevier, vol. 10(3), pages 432-442, September.
    5. Martin Klein, 1989. "Arbitrage and interest rates on currency baskets," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 125(2), pages 296-310, June.
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