Yasuaki Amatatsu

affiliation not provided to SSRN

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Price Discovery from Cross-Currency and FX Swaps: A Structural Analysis

BIS Working Paper No. 264
Number of pages: 23 Posted: 27 Jan 2009
Yasuaki Amatatsu and Naohiko Baba
affiliation not provided to SSRN and Bank of Japan - Financial Markets Department
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Citation 5

Abstract:

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Currency Swap, FX Swap, Price Discovery, State Space Model, Efficient Price