Computing currency invariant indices with an application to minimum variance currency baskets

Journal of Economic Dynamics and Control

Volumn 28, Issue 8, 2004, Pages 1481-1504

  Hovanov, Nikolai V ^a   Kolari, James W ^b   Sokolov, Mikhail V ^c  

^a ST PETERSBURG STATE UNIVERSITY   (Russian Federation)

^b TEXAS A AND M UNIVERSITY   (United States)

^c AVK Investment Company   (Russian Federation)

Author keywords

Currency basket; Currency index; International finance; Minimal variance; Numeraire; World money

Indexed keywords

EID: 1342264966     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1889(02)00087-8     Document Type: Article

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