Estimation and arbitrage opportunities for exchange rate baskets
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- Danilo Mercurio & Costanza Torricelli, 2003. "Estimation and arbitrage opportunities for exchange rate baskets," Applied Economics, Taylor & Francis Journals, vol. 35(15), pages 1689-1698.
References listed on IDEAS
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- Danilo Mercurio & Costanza Torricelli, 2003.
"Estimation and arbitrage opportunities for exchange rate baskets,"
Applied Economics, Taylor & Francis Journals, vol. 35(15), pages 1689-1698.
- Mercurio, Danilo & Torricelli, Costanza, 2001. "Estimation and arbitrage opportunities for exchange rate baskets," SFB 373 Discussion Papers 2001,37, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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Cited by:
- Danilo Mercurio & Costanza Torricelli, 2003.
"Estimation and arbitrage opportunities for exchange rate baskets,"
Applied Economics, Taylor & Francis Journals, vol. 35(15), pages 1689-1698.
- Mercurio, Danilo & Torricelli, Costanza, 2001. "Estimation and arbitrage opportunities for exchange rate baskets," SFB 373 Discussion Papers 2001,37, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Hsin-Hung Chen & Hsien-Tang Tsai & Dennis Lin, 2011. "Optimal mean-variance portfolio selection using Cauchy-Schwarz maximization," Applied Economics, Taylor & Francis Journals, vol. 43(21), pages 2795-2801.
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More about this item
Keywords
exchange rates; mean-variance hedging; adaptive estimation;All these keywords.
JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
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