Interest rate arbitrage in currency baskets
Subtitle: forecasting weights and measuring risk
By: prepared by Peter Christoffersen and Lorenzo Giorgianni.
Contributors: Giorgianni, Lorenzo.; International Monetary Fund. Asia and Pacific Dept.
Series: IMF working paper -- WP/99/16
Publisher: International Monetary Fund, Asia and Pacific Department
Published: 1999
Place of publication: [Washington, D.C.]
Language: eng
Number of pages: 30
Subjects: Interest rates -- Forecasting -- Econometric models.; Interest rate risk -- Econometric models.; Foreign exchange rates -- Econometric models.; Currency convertibility -- Econometric models.; Cointegration -- Econometric models.
Notes: Caption title.

"January 1999."

Includes bibliographical references (p. 29-30).