The profitability of interest arbitrage when the base currency is pegged to a basket-Reference-Cited by-同舟云学术

The profitability of interest arbitrage when the base currency is pegged to a basket

Published:2010-09-14 Issue:3 Volume:37 Page:267-281
ISSN:0924-865X
Container-title:Review of Quantitative Finance and Accounting
language:en
Short-container-title:Rev Quant Finan Acc

Author:

Moosa Imad

Publisher

Springer Science and Business Media LLC

Subject

Finance,General Business, Management and Accounting,Accounting

Link

http://link.springer.com/content/pdf/10.1007/s11156-010-0204-1.pdf

Reference16 articles.

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2. Balvers R, Wu Y (2010) Optimal transaction filters under transitory trading opportunities: theory and empirical illustration. J Financ Mark 13:129–156

3. Bayraktar S (2009) The impact of exchange rate risk on international asset pricing under various market structures. Rev Quant Financ Acc 32:169–195

4. Chiang TC, Yang SY (2005) International asset excess returns and multivariate conditional volatilities. Rev Quant Financ Acc 24:295–312

5. Christofferson P, Giorgianni L (1999) Interest arbitrage in currency baskets: forecasting weights and measuring risk. IMF working papers, no WP/99/16

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