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Search: subject:"Efficient Price"
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Currency Swap
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Efficient Price
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FX Swap
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Price Discovery
2
State Space Model
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Free
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Book / Working Paper
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Undetermined
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Amatatsu, Yasuaki
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Baba, Naohiko
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Bank for International Settlements (BIS)
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Bank of Japan
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Price discovery from cross-currency and FX swaps: a structural analysis
Baba, Naohiko
;
Amatatsu, Yasuaki
-
Bank for International Settlements (BIS)
-
2008
FX swap market; and (ii) FX swap prices tend to under react to changes in the
efficient
price
, while cross-currency swap …
Persistent link: https://www.econbiz.de/10005127749
Saved in:
2
Price Discovery from Cross-Currency and FX Swaps: A Structural Analysis
Amatatsu, Yasuaki
;
Baba, Naohiko
-
Bank of Japan
-
2007
swap market. (iii) The FX swap prices tend to under-react to the
efficient
price
changes, while the cross-currency swap …
Persistent link: https://www.econbiz.de/10010894538
Saved in:
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