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Yasuaki Amatatsu
affiliation not provided to SSRN
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1.
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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Abstract:
Currency Swap, FX Swap, Price Discovery, State Space Model, Efficient Price
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