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

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Computing Currency Invariant Indices with an Application to Minimum Variance Currency Baskets

Hovanov, Nikolai V.; Kolari, James W.; Sokolov, Mikhail V. - 2011

This paper provides an exact and computable invariant currency value index (ICVI) which is independent of base currency choice. Thus, given a 1xed set of currencies, the index of a currency will have the same value, regardless of base currency choice. This currency index can be used as an...

Persistent link: https://www.econbiz.de/10014047628