The profitability of interest arbitrage when the base currency is pegged to a basket
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- 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.
- Ronald J. Balvers & Yangru Wu, 2005. "Optimal Transaction Filters Under Transitory Trading Opportunities: Theory and Empirical Illustration," Working Papers 022005, Hong Kong Institute for Monetary Research.
- Lars Hörngren & Anders Vredin, 1989. "Exchange risk premia in a currency basket system," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 125(2), pages 311-325, June.
- 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 242-253, April.
- Peter F. Christoffersen & Lorenzo Giorgianni, 1999. "Interest Rate Arbitrage in Currency Baskets; Forecasting Weights and Measuring Risk," IMF Working Papers 99/16, International Monetary Fund.
- Martin Klein, 1989. "Arbitrage and interest rates on currency baskets," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 125(2), pages 296-310, June.
- Pikkarainen, Pentti, 1991. "International portfolio diversification: the basket-peg regime," Journal of International Money and Finance, Elsevier, vol. 10(3), pages 432-442, September.
More about this item
KeywordsCurrency baskets; Interest arbitrage; Monte Carlo simulations; F31;
- F31 - International Economics - - International Finance - - - Foreign Exchange
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:rqfnac:v:37:y:2011:i:3:p:267-281. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: http://springer.com .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.