Interest Rate Arbitrage in Currency Baskets--Forecasting Weights and Measuring Risk

30 Pages Posted: 17 Aug 2007

See all articles by Lorenzo Giorgianni

Lorenzo Giorgianni

International Monetary Fund (IMF)

Peter Christoffersen

University of Toronto - Rotman School of Management; Copenhagen Business School; Aarhus University - CREATES

Date Written: Janurary 1999

Abstract

Keywords: Interest rates, Exchange rates, Economic models

Suggested Citation

Giorgianni, Lorenzo and Christoffersen, Peter, Interest Rate Arbitrage in Currency Baskets--Forecasting Weights and Measuring Risk (Janurary 1999). IMF Working Papers, Vol. , pp. 1-0, 1999. Available at SSRN: https://ssrn.com/abstract=1006317

Lorenzo Giorgianni (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street NW
Asia and Pacific Department
Washington, DC 20431
United States
202-623-5326 (Phone)

Peter Christoffersen

University of Toronto - Rotman School of Management ( email )

105 St. George Street
Toronto, Ontario M5S 3E6 M5P 3C4
Canada
416-946-5511 (Phone)

Copenhagen Business School

Solbjerg Plads 3
Frederiksberg C, DK - 2000
Denmark

Aarhus University - CREATES

School of Economics and Management
Building 1322, Bartholins Alle 10
DK-8000 Aarhus C
Denmark

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