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Covered arbitrage in foreign exchange markets with forward forward contracts in interest rates

✍ Scribed by Ghosh, Dilip K.

Publisher
John Wiley and Sons
Year
1998
Tongue
English
Weight
190 KB
Volume
18
Category
Article
ISSN
0270-7314

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Covered arbitrage in foreign exchange ma
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In a recent issue of this Journal, 1 Dilip Ghosh confuses the concept of a (known) forward interest rate with that of a (random) future short-term interest rate. As a result, both of his main conclusions-that combining interest rate forwards with foreign exchange (FX) forwards produces a new version

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Comment on any work, published or unpublished, is always useful, and on that score I compliment Carl Batlin (1999) for his interesting observations on my work in this Journal (February, 1998). In my paper I have done three things: (i) redefined covered interest rate parity under a modified scenario,

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A large empirical literature has tested the unbiasedness hypothesis in the foreign-exchange market with the use of forward exchange rates. This article amends the conventional testing framework to exploit the information in currency options, with a newly constructed data set for three major dollar e

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## Abstract We explore the determinants of intraday volatility in interest‐rate and foreign‐exchange markets, focusing on the importance and interaction of three types of information in predicting intraday volatility: (a) knowledge of recent past volatilities (i.e., ARCH or Autoregressive Condition