The profitability of interest arbitrage when the base currency is pegged to a basket
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Volume (Year): 37 (2011)
Issue (Month): 3 (October)
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References listed on IDEAS
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- Ronald J. Balvers & Yangru Wu, 2005.
"Optimal Transaction Filters Under Transitory Trading Opportunities: Theory and Empirical Illustration,"
022005, Hong Kong Institute for Monetary Research.
- 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.
- 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.
- 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.
- Pikkarainen, Pentti, 1991. "International portfolio diversification: the basket-peg regime," Journal of International Money and Finance, Elsevier, vol. 10(3), pages 432-442, September.
- 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.
- 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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