Portfolio Performance of the SDR and Reserve Currencies : Tests Using the ArCH Methodology

Tests Using the ArCH Methodology

Portfolio Performance of the SDR and Reserve Currencies : Tests Using the ArCH Methodology
In managing their foreign exchange exposure, international investors, including central banks, often compare actual portfolios with hypothetical portfolios that have been calculated using certain assumptions regarding the statistical properties of interest rates and exchange rates. One of these assumptions is that the variability of returns on... READ MORE...

Publication date: February 1993
ISBN 9781451842630
$15.00

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