Ferreira, Miguel A. (contributor); … - 2004 - [Elektronische Ressource], rev
-weighted portfolio of short-term fixed income positions in
the US dollar, German deutschemark and Japanese yen. The portfolio returns are … framework. Section 5 concludes.
2 Time-Varying Covariance Models
In this paper, we study an equally-weighted US dollar …-denominated portfolio of three month US
dollar (US$), Deutschemark (DM) and Japanese yen (JY) interest rates. We take the view of a US …