Interest Rate Arbitrage in Currency Baskets (Record no. 149691)

000 -LEADER
fixed length control field 02255nam a22003974a 4500
001 - CONTROL NUMBER
control field WPIEA0161999
003 - CONTROL NUMBER IDENTIFIER
control field IMF
005 - DATE AND TIME OF LATEST TRANSACTION
control field 20190405160231.0
006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS--GENERAL INFORMATION
fixed length control field m o d
007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION
fixed length control field cr cn|||||||||
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 020129s1999 dcu o i00 0 eng d
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 1451843380 :
Terms of availability 15.00 USD
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
Cancelled/invalid ISBN 9781451843385
022 ## - INTERNATIONAL STANDARD SERIAL NUMBER
International Standard Serial Number 1018-5941
024 7# - OTHER STANDARD IDENTIFIER
Standard number or code 10.5089/9781451843385.001
Source of number or code doi
035 ## - SYSTEM CONTROL NUMBER
System control number (IMF)WPIEA0161999
040 ## - CATALOGING SOURCE
Original cataloging agency DcWaIMF
Language of cataloging eng
100 1# - MAIN ENTRY--PERSONAL NAME
Personal name Christoffersen, Peter F.
245 10 - TITLE STATEMENT
Title Interest Rate Arbitrage in Currency Baskets
Medium [electronic resource] :
Remainder of title Forecasting Weights and Measuring Risk /
Statement of responsibility, etc Peter F Christoffersen.
260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT)
Place of publication, distribution, etc Washington, D.C. :
Name of publisher, distributor, etc International Monetary Fund,
Date of publication, distribution, etc 1999.
300 ## - PHYSICAL DESCRIPTION
Extent 1 online resource (30 p.)
490 1# - SERIES STATEMENT
Series statement IMF Working Papers; Working Paper ;
Volume number/sequential designation No. 99/16
520 3# - SUMMARY, ETC.
Summary, etc When constructing hedged interest rate arbitrage portfolios for basket currencies, two issues arise: first, how are the unknown future basket weights optimally forecasted from past exchange rate data? And, second, how is risk-in terms of the conditional variance of expected profits from the interest rate arbitrage portfolio-appropriately measured when the basket weights are time-varying? Answers to these questions are provided within a time-varying parameter modeling framework estimated through the Kalman filter. An empirical application is devoted to the experience of the Thai baht currency basket (January 1992-February 1997).
588 ## - SOURCE OF DESCRIPTION NOTE
Source of description note Description based on print version record.
650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Cointegration
Source of heading or term imf
650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Currency Basket
Source of heading or term imf
650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Equation
Source of heading or term imf
650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Exchange Rate
Source of heading or term imf
650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Exchange Rates
Source of heading or term imf
650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Statistics
Source of heading or term imf
651 #7 - SUBJECT ADDED ENTRY--GEOGRAPHIC NAME
Geographic name Thailand
Source of heading or term imf
700 1# - ADDED ENTRY--PERSONAL NAME
Personal name Giorgianni, Lorenzo.
776 08 - ADDITIONAL PHYSICAL FORM ENTRY
Display text Print Version:
Main entry heading Christoffersen, Peter F.
Title Interest Rate Arbitrage in Currency Baskets : Forecasting Weights and Measuring Risk
Place, publisher, and date of publication Washington, D.C. : International Monetary Fund, 1999.
International Standard Book Number 9781451843385
830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE
Uniform title IMF Working Papers; Working Paper ;
Volume number/sequential designation No. 99/16
856 40 - ELECTRONIC LOCATION AND ACCESS
Uniform Resource Identifier <a href="http://elibrary.imf.org/view/IMF001/03634-9781451843385/03634-9781451843385/03634-9781451843385.xml">http://elibrary.imf.org/view/IMF001/03634-9781451843385/03634-9781451843385/03634-9781451843385.xml</a>
Public note IMF e-Library
856 40 - ELECTRONIC LOCATION AND ACCESS
Uniform Resource Identifier <a href="http://www.imfbookstore.org/IMFORG/9781451843385">http://www.imfbookstore.org/IMFORG/9781451843385</a>
Public note IMF Book Store

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